On finite sample properties of the tests of robinson (1994) for fractional integration

DOI10.1080/0094965031000116942zbMATH Open1034.62076OpenAlexW2045227517MaRDI QIDQ4450409FDOQ4450409

Authors: Luis A. Gil-Alana, Bertrand Candelon 

Publication date: 15 February 2004

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0094965031000116942

Recommendations

• Evaluation of robinson's (1994) Tests in finite samples
• On the power of the Augmented Dickey--Fuller test against fractional alternatives using bootstrap.
• The Tests of Robinson in the Context of AR(1) Disturbances
• The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain
• Improving the power of unit root tests against fractional alternatives using bootstrap

zbMATH Keywords

bootstraptablessimulationsfractional integration

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cited In (3)

• The Tests of Robinson in the Context of AR(1) Disturbances
• The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain
• Evaluation of robinson's (1994) Tests in finite samples

This page was built for publication: On finite sample properties of the tests of robinson (1994) for fractional integration

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4450409)