scientific article; zbMATH DE number 2143293

MaRDI QIDQ4654883zbMATH OpenFDO

Authors Luis A. Gil-Alana

Publication date 10 March 2005

zbMATH Keywords

fractional differencingscore teststablesunit rootswhile noise

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• Efficient inference in multivariate fractionally integrated time series models
• Inference on the cointegration rank in fractionally integrated processes.
• A Fractional Dickey-Fuller Test for Unit Roots
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• TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN

Cited in

(6)

• A fractional multivariate long memory model for the US and the Canadian real output
• Multivariate trend function testing with mixed stationary and integrated disturbances
• Panel data methods for fractional response variables with an application to test pass rates
• Efficient inference in multivariate fractionally integrated time series models
• scientific article; zbMATH DE number 1553269 (Why is no real title available?)
• Testing a multivariate process for multiple unit roots

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