Testing the Fractional Integration Parameter Revisited: a Fractional Dickey-Fuller Test
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Publication:6235463
DOI10.1504/IJMOR.2018.10011879arXiv1209.1031MaRDI QIDQ6235463
Ahmed Bensalma, Mohamed Bentarzi
Publication date: 5 September 2012
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)