THE NONSTATIONARY FRACTIONAL UNIT ROOT
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Publication:4512738
DOI10.1017/S0266466699154045zbMATH Open0985.62073MaRDI QIDQ4512738FDOQ4512738
Authors: Katsuto Tanaka 
Publication date: 23 May 2002
Published in: Econometric Theory (Search for Journal in Brave)
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Cited In (63)
- Adaptive Inference in Heteroscedastic Fractional Time Series Models
- Fractional integration and data frequency
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- Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
- Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
- Unit root tests using semi-parametric estimators of the long-memory parameter
- Testing for Long Memory Using Penalized Splines and Adaptive Neyman Methods
- Robust testing of time trend and mean with unknown integration order errors
- Adaptive long memory testing under heteroskedasticity
- Finite sample performance of frequency- and time-domain tests for seasonal fractional integration
- Limit theorems for the discount sums of moving averages
- Sign tests for long-memory time series
- Bootstrapping long memory tests: some Monte Carlo results
- Estimation of fractional integration in the presence of data noise
- Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
- Asymptotic normal tests for integration in panels with cross-dependent units
- Local Whittle estimation of fractional integration and some of its variants
- Heteroskedasticity-robust testing for a fractional unit root
- On semiparametric testing of I(\(d\)) by FEXP models
- A regime switching long memory model for electricity prices
- Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
- Issues in the estimation of mis-specified models of fractionally integrated processes
- Harmonically Weighted Processes
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Bias correction for the regression-based LM fractional integration test
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- Estimators of long-memory: Fourier versus wavelets
- Likelihood inference for a nonstationary fractional autoregressive model
- Inference on a structural break in trend with fractionally integrated errors
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
- Wavelet energy ratio unit root tests
- Inference on the cointegration rank in fractionally integrated processes.
- Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
- Stochastic integral convergence: a white noise calculus approach
- Nonparametric frequency domain analysis of nonstationary multivariate time series
- Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
- The Fractional Unit Root Distribution
- Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap
- A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
- TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
- Testing for persistence change in fractionally integrated models: an application to world inflation rates
- Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19
- Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
- Aggregation of the generalized fractional processes
- An Omnibus Test for Time Series ModelI(d)
- A test of the null of integer integration against the alternative of fractional integration
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations
- Gaussian Semi‐parametric Estimation of Fractional Cointegration
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- A test of the long memory hypothesis based on self-similarity
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
- Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries
- Gaussian pseudo-maximum likelihood estimation of fractional time series models
- Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
- Unit root log periodogram regression
- Modelling long-run trends and cycles in financial time series data
- Deterministic seasonality versus seasonal fractional integration
- A Fractional Dickey-Fuller Test for Unit Roots
- Optimal Fractional Dickey–Fuller tests
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
- The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain
- Efficient inference in multivariate fractionally integrated time series models
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