Testing Fractional Order of Long Memory Processes: A Monte Carlo Study

DOI10.1080/03610911003646381zbMath1192.62196OpenAlexW2060488600MaRDI QIDQ3577205

Laurent Ferrara, Dominique Guégan, Zhiping Lu

Publication date: 5 August 2010

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610911003646381

zbMATH Keywords

Monte Carlo simulationslong memory processestest

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (2)

Fractionally differenced Gegenbauer processes with long memory: a review ⋮ Testing unit roots and long range dependence of foreign exchange

Uses Software

• longmemo

Cites Work

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• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
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• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ON GENERALIZED FRACTIONAL PROCESSES
• A k-Factor GARMA Long-memory Model
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• Efficient Tests of Nonstationary Hypotheses
• Semiparametric robust tests on seasonal or cyclical long memory time series
• Evaluation of robinson's (1994) Tests in finite samples

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