ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY (Q5349015)

scientific article; zbMATH DE number 6763397

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English	ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY	scientific article; zbMATH DE number 6763397

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instance of

scholarly article

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title

ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY (English)

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published in

Econometric Theory

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publication date

22 August 2017

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MaRDI profile type

MaRDI publication profile

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cites work

LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE

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Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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Inference on the cointegration rank in fractionally integrated processes.

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Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots

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Adapting for heteroscedasticity in linear models

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Unit Root Tests under Time-Varying Variances

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Testing stationarity under a permanent variance shift

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TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY

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Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics

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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

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Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

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Testing for co-integration in vector autoregressions with non-stationary volatility

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COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY

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Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

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STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS

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Testing the Null of Co-integration in the Presence of Variance Breaks

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Testing for unit roots in time series models with non-stationary volatility

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Testing for a change in persistence in the presence of non-stationary volatility

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BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY

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Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility

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HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT

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Cointegrating rank selection in models with time-varying variance

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Asymptotically uniformly most powerful tests in parametric and semiparametric models

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Nonstationary nonlinear heteroskedasticity in regression

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A simple nonstationary-volatility robust panel unit root test

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LONG MEMORY TESTING IN THE TIME DOMAIN

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A Fractional Dickey-Fuller Test for Unit Roots

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Local polynomial Whittle estimation of perturbed fractional processes

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On Large-Sample Estimation and Testing in Parametric Models

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Testing for a unit root in the presence of a variance shift

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Regression with Nonstationary Volatility

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PORTMANTEAU AUTOCORRELATION TESTS UNDER <i>Q</i> -DEPENDENCE AND HETEROSKEDASTICITY

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EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION

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TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN

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Gaussian pseudo-maximum likelihood estimation of fractional time series models

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A FAST FRACTIONAL DIFFERENCE ALGORITHM

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Likelihood inference for a nonstationary fractional autoregressive model

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THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS

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HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT

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Unit root tests with a break in innovation variance.

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Cointegrating Regressions with Time Heterogeneity

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Empirical Likelihood-Based Inference in Conditional Moment Restriction Models

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EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY

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Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models

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On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity

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ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS

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Optimal Fractional Dickey–Fuller tests

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Efficient Wald Tests for Fractional Unit Roots

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DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS

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EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS

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Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models

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Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach

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Testing for covariance stationarity in stock market data

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Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean

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Corrected portmanteau tests for VAR models with time-varying variance

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Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance

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Local Whittle estimation in nonstationary and unit root cases.

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Inference in Autoregression under Heteroskedasticity

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Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form

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Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

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Efficient Tests of Nonstationary Hypotheses

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Log-periodogram regression of time series with long range dependence

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Gaussian semiparametric estimation of long range dependence

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Gaussian semiparametric estimation of multivariate fractionally integrated processes

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EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND

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Pooled Log Periodogram Regression

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Exact local Whittle estimation of fractional integration

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Local Whittle estimation of fractional integration and some of its variants

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BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY

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Nonlinear log-periodogram regression for perturbed fractional processes

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THE NONSTATIONARY FRACTIONAL UNIT ROOT

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Gaussian Semiparametric Estimation of Non-stationary Time Series

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Bootstrapping Autoregression under Non-stationary Volatility

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Robustifying multivariate trend tests to nonstationary volatility

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Powerful tests for structural changes in volatility

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Adaptive estimation of autoregressive models with time-varying variances

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Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility

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Testing for structural change under non‐stationary variances

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full work available at URL

https://doi.org/10.1017/s0266466615000481

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Identifiers

zbMATH Open document ID

1441.62724

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DOI

10.1017/S0266466615000481

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5349015