A modified test against spurious long memory
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Publication:1663949
DOI10.1016/J.ECONLET.2015.07.019zbMath1394.62168OpenAlexW1082768541MaRDI QIDQ1663949
Publication date: 24 August 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://research.rug.nl/en/publications/a-modified-test-against-spurious-long-memory(59495152-d8d3-422f-8ede-d0020d5f80fc).html
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
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Cites Work
- When long memory meets the Kalman filter: a comparative study
- Testing for a break in trend when the order of integration is unknown
- Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
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- Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
- Efficient Tests of Nonstationary Hypotheses
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison
- A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
- Long memory and regime switching
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