Note on bandwidth selection in testing for long range dependence.

DOI10.1016/S0165-1765(02)00180-5zbMath1036.91044OpenAlexW2003311125MaRDI QIDQ1853704

Zhijie Xiao

Publication date: 22 January 2003

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00180-5

zbMATH Keywords

Bandwidth selectionNonparametricSemiparametricIntegrated processLong-memory process

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (3)

Robust inference in nonstationary time series models ⋮ Tests of long memory: a bootstrap approach ⋮ UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A critical look at Lo's modified \(R/S\) statistic.
• Convergence of normalized quadratic forms
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Long-Term Memory in Stock Market Prices

This page was built for publication: Note on bandwidth selection in testing for long range dependence.