Tests of long memory: a bootstrap approach
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Publication:2575452
DOI10.1007/S10614-005-6277-6zbMath1075.91031OpenAlexW1976260521MaRDI QIDQ2575452
Publication date: 9 December 2005
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-005-6277-6
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Uses Software
Cites Work
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- A critical look at Lo's modified \(R/S\) statistic.
- Note on bandwidth selection in testing for long range dependence.
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- Fractional ARIMA with stable innovations
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- TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- Fractional differencing
- Long-Term Memory in Stock Market Prices
- THE SIZE DISTORTION OF BOOTSTRAP TESTS
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