The power of the tests of robinson (1994) in the context of fractionall[y integrated moving average models
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Publication:2784188
DOI10.1080/00949650108812121zbMath1004.62070OpenAlexW2046433520MaRDI QIDQ2784188
Publication date: 1 July 2002
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/4266
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
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Cites Work
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- Long memory relationships and the aggregation of dynamic models
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Efficient Tests of Nonstationary Hypotheses
- Evaluation of robinson's (1994) Tests in finite samples
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