Unit root tests using semi-parametric estimators of the long-memory parameter

DOI10.1080/10629360500107998MaRDI QIDQ5485072zbMATH OpenOpenAlexFDO

Authors Valdério Anselmo Reisen, Paula A. Barros, Glaura C. Franco

Publication date 28 August 2006

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10629360500107998

zbMATH Keywords

bootstraplong memoryADF testsemi-parametric estimatorsprices of soy grain and soy flour

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• Bootstrap methods: another look at the jackknife
• Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
• On the power of unit root tests against fractional alternatives
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for a unit root in time series regression
• Testing for unit roots in autoregressive-moving average models of unknown order

Cited in

(1)

• THE NONSTATIONARY FRACTIONAL UNIT ROOT

Describes a project that uses

Uses Software

• boot

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