Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model

DOI10.1080/07474938.2011.553568zbMath1218.62092OpenAlexW1988614226MaRDI QIDQ3019209

Yongcheol Shin, George Kapetanios

Publication date: 27 July 2011

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2011.553568

zbMATH Keywords

Monte Carlo simulationsreal exchange ratesWald testsreal interest rateslong memory \(I(d)\) and ESTAR processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

Classical ergodicity and modern portfolio theory ⋮ The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists ⋮ True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison ⋮ Nonlinear autoregressive models and long memory ⋮ Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model

Uses Software

• ESTAR

Cites Work

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