On the power of durbin-watson statistic against fractionally integrated processes

DOI10.1080/07474939808800423zbMath0913.62087OpenAlexW1967849808MaRDI QIDQ4224731

Wen-Jen Tsay

Publication date: 10 June 1999

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

Full work available at URL: https://doi.org/10.1080/07474939808800423

zbMATH Keywords

fractional Brownian motionunit rootDurbin-Watson statistic

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

The spurious regression of fractionally integrated processes ⋮ Rescaled variance and related tests for long memory in volatility and levels

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