THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION

DOI10.1017/S0266466699155038MaRDI QIDQ4512708zbMATHOpenAlexFDO

Authors Jonathan H. Wright

Publication date 5 July 2001

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466699155038

zbMATH Keywords

asymptotic powerfractional integrationpartial sum processlocal atternatives

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
• A test of the null of integer integration against the alternative of fractional integration
• TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
• Power comparison among tests for fractional unit roots
• A Fractional Dickey-Fuller Test for Unit Roots

Cited in

(7)

• On the power of \(R\)/\(S\)-type tests under contiguous and semi-long memory alternatives
• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
• Nonparametric likelihood inference for general autoregressive models
• Tests for Hurst effect
• Power comparison among tests for fractional unit roots
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Local Asymptotic Distributions of Stationarity Tests

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