Bias correction for the regression-based LM fractional integration test

DOI10.1007/S10182-008-0058-1MaRDI QIDQ732235zbMATH OpenOpenAlexFDO

Authors 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

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

Recommendations

• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
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Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Efficient Tests of Nonstationary Hypotheses
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 1944322 (Why is no real title available?)
• Inference on the cointegration rank in fractionally integrated processes.
• LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
• LONG MEMORY TESTING IN THE TIME DOMAIN
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• THE NONSTATIONARY FRACTIONAL UNIT ROOT

Cited in

(5)

• Tests of bias in log-periodogram regression
• Asymptotic normal tests for integration in panels with cross-dependent units
• Bias Correction of Persistence Measures in Fractionally Integrated Models
• A bias-adjusted LM test of error cross-section independence
• First-order bias correction for fractionally integrated time series

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