Bias correction for the regression-based LM fractional integration test
DOI10.1007/S10182-008-0058-1zbMATH Open1171.62051OpenAlexW2012486614MaRDI QIDQ732235FDOQ732235
Matei Demetrescu, Adina I. Tarcolea
Publication date: 9 October 2009
Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10182-008-0058-1
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Cites Work
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Title not available (Why is that?)
- Efficient Tests of Nonstationary Hypotheses
- Title not available (Why is that?)
- THE NONSTATIONARY FRACTIONAL UNIT ROOT
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Inference on the cointegration rank in fractionally integrated processes.
- LONG MEMORY TESTING IN THE TIME DOMAIN
- LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
Cited In (5)
- Tests of bias in log-periodogram regression
- A bias-adjusted LM test of error cross-section independence
- Asymptotic normal tests for integration in panels with cross-dependent units
- Bias Correction of Persistence Measures in Fractionally Integrated Models
- First-order bias correction for fractionally integrated time series
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