The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain

DOI10.1016/j.mcm.2005.06.002zbMath1079.62085MaRDI QIDQ815321

Luis A. Gil-Alana

Publication date: 16 February 2006

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2005.06.002

zbMATH Keywords

fractional integration; long memory

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

65C05: Monte Carlo methods

62M07: Non-Markovian processes: hypothesis testing

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