TESTING FOR LONG MEMORY

DOI10.1017/S0266466608080080MaRDI QIDQ3632375zbMATH OpenOpenAlexFDO

Authors

Publication date 11 June 2009

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466608080080

Mathematics Subject Classification ID

White noise theory (60H40) Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cites work

• A Nonparametric Test for I(0)
• Automatic Lag Selection in Covariance Matrix Estimation
• Efficient Tests of Nonstationary Hypotheses
• Generalizations of the KPSS‐test for stationarity
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

Cited in

(25)

• Bilateral bootstrap tests for long memory: an application to the Silver market
• A test of the long memory hypothesis based on self-similarity
• Rescaled variance and related tests for long memory in volatility and levels
• On a class of estimation and test for long memory
• Testing long memory based on a discretely observed process
• Residual empirical processes for nearly unstable long-memory time series
• Behaviour of skewness, kurtosis and normality tests in long memory data
• Sign tests for long-memory time series
• A test against spurious long memory
• LONG MEMORY TESTING IN THE TIME DOMAIN
• Continuous inspection with memory
• Testing for long memory in the presence of a general trend
• A new simple test against spurious long memory using temporal aggregation
• A test of the null of integer integration against the alternative of fractional integration
• scientific article; zbMATH DE number 7578267 (Why is no real title available?)
• Testing for Long Memory Using Penalized Splines and Adaptive Neyman Methods
• Adaptive long memory testing under heteroskedasticity
• Time series modeling of paleoclimate data
• Detecting long-range dependence for time-varying linear models
• How the instability of ranks under long memory affects large-sample inference
• Testing LRD in the spectral domain for functional time series in manifolds
• Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
• Checking the correctness of memories
• Bootstrapping long memory tests: some Monte Carlo results
• A two-sample test for comparison of long memory parameters

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