Bias correction for the regression-based LM fractional integration test

DOI10.1007/s10182-008-0058-1zbMath1171.62051OpenAlexW2012486614MaRDI QIDQ732235

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

zbMATH Keywords

bias approximationlong memory testingsmall-sample behavior

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05)

Related Items (1)

Asymptotic normal tests for integration in panels with cross-dependent units

Cites Work

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• 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
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
• Efficient Tests of Nonstationary Hypotheses
• THE NONSTATIONARY FRACTIONAL UNIT ROOT

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