A Test Against Spurious Long Memory
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Publication:3089159
DOI10.1198/jbes.2010.09153zbMath1219.62140OpenAlexW1967985636MaRDI QIDQ3089159
Publication date: 24 August 2011
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.212.4314
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)
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