Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials

DOI10.1515/snde-2014-0005OpenAlexW1439731406MaRDI QIDQ2691641

Luis A. Gil-Alana, Juan Carlos Cuestas

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2014-0005

zbMATH Keywords

Chebyshev polynomialsfractional integrationlong run dependence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (3)

Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19 ⋮ Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications ⋮ Testing fractional unit roots with non-linear smooth break approximations using Fourier functions

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