Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
DOI10.1515/jtse-2014-0031zbMath1499.62298arXiv1601.05682OpenAlexW2321042047MaRDI QIDQ1695674
Publication date: 7 February 2018
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1601.05682
stationarity testfractional unit roots testGaussian fractionally integrated processessemiparametric estimators of the memory parametertest of long-memory
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)
Uses Software
Cites Work
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