THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION

DOI10.1017/S0266466699155038zbMATH Open0963.62081OpenAlexW1967243978MaRDI QIDQ4512708FDOQ4512708

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

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

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)

Cited In (7)

• Nonparametric likelihood inference for general autoregressive models
• 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
• Tests for Hurst effect
• Power comparison among tests for fractional unit roots
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Local Asymptotic Distributions of Stationarity Tests

This page was built for publication: THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4512708)