The Sensitivity of Detrended Long-Memory Processes

DOI10.1080/03610926.2011.638426zbMath1277.62204OpenAlexW2318327795MaRDI QIDQ2864692

Anurag N. Banerjee

Publication date: 26 November 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.638426

zbMATH Keywords

long memorysensitivity measuredetrending

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Does the method of data detrending matter? A study of the KPSS test against long memory alternatives
• Some results on testing for stationarity using data detrended in differences
• The sensitivity of OLS when the variance matrix is (partially) unknown
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Efficient Wald Tests for Fractional Unit Roots
• A Fractional Dickey-Fuller Test for Unit Roots

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