Local asymptotic powers of nonparametric and semiparametric tests for fractional integration

DOI10.1016/j.spa.2006.08.002zbMath1115.62052MaRDI QIDQ867849

Wei-Biao Wu, Xiao-Feng Shao

Publication date: 19 February 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2006.08.002

zbMATH Keywords

long memory; Lagrange multiplier test; KPSS test; local Whittle estimation; R/S test

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

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

62M07: Non-Markovian processes: hypothesis testing

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