TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN

DOI10.1017/S0266466609990338zbMath1184.62152OpenAlexW2159636503MaRDI QIDQ3652627

Paulo M. M. Rodrigues, Antonio Rubia, Uwe Hassler

Publication date: 15 December 2009

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

Full work available at URL: https://doi.org/10.1017/s0266466609990338

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05)

Related Items (10)

Unnamed Item ⋮ Testing for persistence change in fractionally integrated models: an application to world inflation rates ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ On the invertibility of seasonally adjusted series ⋮ Asymptotic normal tests for integration in panels with cross-dependent units ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ Finite sample performance of frequency- and time-domain tests for seasonal fractional integration ⋮ Modelling long-run trends and cycles in financial time series data ⋮ EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES ⋮ Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

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