THE NONSTATIONARY FRACTIONAL UNIT ROOT

DOI10.1017/S0266466699154045zbMATH Open0985.62073MaRDI QIDQ4512738FDOQ4512738

Katsuto Tanaka

Publication date: 23 May 2002

Published in: Econometric Theory (Search for Journal in Brave)

Recommendations

• A Fractional Dickey-Fuller Test for Unit Roots
• The Fractional Unit Root Distribution
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Unit root tests using semi-parametric estimators of the long-memory parameter
• A consistent test for unit root against fractional alternative

zbMATH Keywords

simulationslimiting distributionsstationary case

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Cited In (62)

• Adaptive Inference in Heteroscedastic Fractional Time Series Models
• Fractional integration and data frequency
• Title not available (Why is that?)
• 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
• Title not available (Why is that?)
• 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
• Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models
• Asymptotic normal tests for integration in panels with cross-dependent units
• Local Whittle estimation of fractional integration and some of its variants
• BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP
• Heteroskedasticity-robust testing for a fractional unit root
• TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT
• 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
• 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
• Wavelet energy ratio unit root tests
• Inference on the cointegration rank in fractionally integrated processes.
• 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
• 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
• Aggregation of the generalized fractional processes
• ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY
• An Omnibus Test for Time Series ModelI(d)
• A test of the null of integer integration against the alternative of fractional integration
• Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model
• 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
• Robust testing of time trend and mean with unknown integration order errors
• 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

This page was built for publication: THE NONSTATIONARY FRACTIONAL UNIT ROOT

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4512738)