TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN

DOI10.1017/S0266466609990338MaRDI QIDQ3652627zbMATH OpenOpenAlexFDO

Authors Paulo M. M. Rodrigues, Antonio Rubia, Uwe Hassler

Publication date 15 December 2009

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466609990338

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain
• Fractional integration and the augmented Dickey--Fuller test
• Testing the fractional integration parameter revisited: a fractional Dickey-Fuller test
• A test of the null of integer integration against the alternative of fractional integration
• A joint test of fractional cyclic integration and a linear time trend
• A Class Test for Fractional Integration
• Testing for boundary conditions in case of fractionally integrated processes
• Testing for a change in mean under fractional integration

Cites work

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• A parametric bootstrap test for cycles
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• Alternative forms of fractional Brownian motion
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
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• Stochastic Limit Theory
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Cited in

(30)

• Fractional integration and interval prediction
• Testing for persistence change in fractionally integrated models: an application to world inflation rates
• On the invertibility of seasonally adjusted series
• Asymptotic normal tests for integration in panels with cross-dependent units
• Testing the fractional integration parameter revisited: a fractional Dickey-Fuller test
• Testing for boundary conditions in case of fractionally integrated processes
• Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
• Modelling long-run trends and cycles in financial time series data
• Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
• Efficient inference in multivariate fractionally integrated time series models
• Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes
• An Omnibus Test for Time Series ModelI(d)
• LONG MEMORY TESTING IN THE TIME DOMAIN
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION
• A joint test of fractional cyclic integration and a linear time trend
• scientific article; zbMATH DE number 2143293 (Why is no real title available?)
• scientific article; zbMATH DE number 1395879 (Why is no real title available?)
• A test of the null of integer integration against the alternative of fractional integration
• Finite sample performance of frequency- and time-domain tests for seasonal fractional integration
• Adaptive long memory testing under heteroskedasticity
• A Fractional Dickey-Fuller Test for Unit Roots
• scientific article; zbMATH DE number 2217285 (Why is no real title available?)
• Exact local Whittle estimation in long memory time series with multiple poles
• Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
• Adaptive Inference in Heteroscedastic Fractional Time Series Models
• Testing for periodic integration
• The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain
• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration

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