TESTING FOR LONG MEMORY
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Publication:3632375
DOI10.1017/S0266466608080080zbMath1280.62054OpenAlexW3121549977MaRDI QIDQ3632375
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Publication date: 11 June 2009
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466608080080
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Monte Carlo methods (65C05) White noise theory (60H40)
Related Items (5)
Time series modeling of paleoclimate data ⋮ A test of the null of integer integration against the alternative of fractional integration ⋮ Bootstrapping long memory tests: some Monte Carlo results ⋮ Testing for Long Memory Using Penalized Splines and Adaptive Neyman Methods ⋮ Unnamed Item
Cites Work
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- On the power of the KPSS test of stationarity against fractionally-integrated alternatives
- A Nonparametric Test for I(0)
- Automatic Lag Selection in Covariance Matrix Estimation
- Efficient Tests of Nonstationary Hypotheses
- Generalizations of the KPSS‐test for stationarity
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