On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives

DOI10.1080/03610919708813448zbMath0925.62390MaRDI QIDQ4387627

Pedro J. F. de Lima, Nuno Crato

Publication date: 5 May 1999

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919708813448

zbMATH Keywords

ARIMA; ARFIMA; AR and MA unit roots

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Cites Work

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• SOME SIMPLE TESTS OF THE MOVING-AVERAGE UNIT ROOT HYPOTHESIS
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• The behaviour of the sample autocorrelation function for an integrated moving average process