Adaptive long memory testing under heteroskedasticity
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Publication:5349015
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Cites work
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Cited in
(12)- Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
- Adaptive estimation of AR(\(\infty\)) models with time-varying variances
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- Sign tests for long-memory time series
- LONG MEMORY TESTING IN THE TIME DOMAIN
- Heteroskedasticity-robust testing for a fractional unit root
- Adaptive testing in arch models
- RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT—ADDENDUM
- Detecting long-range dependence for time-varying linear models
- Adaptive Inference in Heteroscedastic Fractional Time Series Models
- A two-sample test for comparison of long memory parameters
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