Simple Wald tests of the fractional integration parameter: an overview of new results

zbMATH Open1380.62188MaRDI QIDQ4593686FDOQ4593686

Authors: Juan J. Dolado, Jesús Gonzalo, Laura Mayoral 

Publication date: 22 November 2017

Recommendations

• A fixed-\(b\) test for a break in level at an unknown time under fractional integration
• Efficient Wald Tests for Fractional Unit Roots
• Wald tests of \(I(1)\) against \(I(d)\) alternatives: some new properties and an extension to processes with trending components
• LONG MEMORY TESTING IN THE TIME DOMAIN
• Testing for a Structural Break at Unknown Date with Long-memory Disturbances

zbMATH Keywords

Wald testfractional integration paramatersemiparameter tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited In (3)

• Wald tests of \(I(1)\) against \(I(d)\) alternatives: some new properties and an extension to processes with trending components
• LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series
• Efficient Wald Tests for Fractional Unit Roots

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