A Fractional Dickey-Fuller Test for Unit Roots
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Publication:5475014
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Cited in
(49)- Efficient inference in multivariate fractionally integrated time series models
- Adaptive long memory testing under heteroskedasticity
- Type I and type II fractional Brownian motions: a reconsideration
- Limit theorems for the discount sums of moving averages
- Root-\(n\)-consistent estimation of weak fractional cointegration
- Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
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- Nonparametric nonstationarity tests
- Heteroskedasticity-robust testing for a fractional unit root
- The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
- Fractionally differenced Gegenbauer processes with long memory: a review
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- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- The use of the Bloomfield model as an approximation to ARMA processes in the context of fractional integration
- Likelihood inference for a nonstationary fractional autoregressive model
- Tests for cointegration with structural breaks based on subsamples
- Testing unit roots of financial time series: an application to major stock markets in Asia-Pacific area
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
- Inference on the cointegration rank in fractionally integrated processes.
- Stochastic integral convergence: a white noise calculus approach
- A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data
- LONG MEMORY TESTING IN THE TIME DOMAIN
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- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
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- Asymptotic normality for weighted sums of linear processes
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- THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION
- Asymptotic inference results for multivariate long‐memory processes
- Efficient Wald Tests for Fractional Unit Roots
- Testing the unit root hypothesis using generalized range statistics
- Optimal Fractional Dickey–Fuller tests
- The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain
- Testing the fractional integration parameter revisited: a fractional Dickey-Fuller test
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