Unit root tests using semi-parametric estimators of the long-memory parameter
DOI10.1080/10629360500107998zbMATH Open1112.62091OpenAlexW1989452885MaRDI QIDQ5485072FDOQ5485072
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
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- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Testing for a unit root in time series regression
- ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
- Testing for unit roots in autoregressive-moving average models of unknown order
- On the power of unit root tests against fractional alternatives
- Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
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