Trend stationarity versus long-range dependence in time series analysis

DOI10.1016/S0304-4076(01)00099-9zbMath1020.62080MaRDI QIDQ1867710

Carlos Velasco, Francesc Marmol

Publication date: 2 April 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

long-range dependencelocaltrend stationarityfrequency domain estimationspurious detrending

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Time Series Regression with a Unit Root
• Fractional Brownian Motions, Fractional Noises and Applications
• The average periodogram for nonstationary vector time series
• Semiparametric fractional cointegration analysis

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