THE NONSTATIONARY FRACTIONAL UNIT ROOT
From MaRDI portal
Publication:4512738
DOI10.1017/S0266466699154045zbMath0985.62073MaRDI QIDQ4512738
Publication date: 23 May 2002
Published in: Econometric Theory (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)
Related Items (57)
Sign tests for long-memory time series ⋮ Unnamed Item ⋮ Efficient inference in multivariate fractionally integrated time series models ⋮ Local Whittle estimation of fractional integration and some of its variants ⋮ Unit root log periodogram regression ⋮ Testing for persistence change in fractionally integrated models: an application to world inflation rates ⋮ A regime switching long memory model for electricity prices ⋮ Estimators of long-memory: Fourier versus wavelets ⋮ Robust testing of time trend and mean with unknown integration order errors ⋮ Fractional integration and data frequency ⋮ Deterministic seasonality versus seasonal fractional integration ⋮ Gaussian Semi‐parametric Estimation of Fractional Cointegration ⋮ Local asymptotic powers of nonparametric and semiparametric tests for fractional integration ⋮ Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19 ⋮ Limit theorems for the discount sums of moving averages ⋮ Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach ⋮ Issues in the estimation of mis-specified models of fractionally integrated processes ⋮ Stochastic integral convergence: a white noise calculus approach ⋮ BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Nonparametric frequency domain analysis of nonstationary multivariate time series ⋮ A test of the long memory hypothesis based on self-similarity ⋮ Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics ⋮ Harmonically Weighted Processes ⋮ Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries ⋮ Gaussian pseudo-maximum likelihood estimation of fractional time series models ⋮ Aggregation of the generalized fractional processes ⋮ A test of the null of integer integration against the alternative of fractional integration ⋮ Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration ⋮ Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model ⋮ Bootstrapping long memory tests: some Monte Carlo results ⋮ Testing for Long Memory Using Penalized Splines and Adaptive Neyman Methods ⋮ Asymptotic normal tests for integration in panels with cross-dependent units ⋮ The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations ⋮ Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models ⋮ Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model ⋮ Unnamed Item ⋮ Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices ⋮ Bias correction for the regression-based LM fractional integration test ⋮ TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT ⋮ An Omnibus Test for Time Series ModelI(d) ⋮ Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes ⋮ Likelihood inference for a nonstationary fractional autoregressive model ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ Inference on a Structural Break in Trend with Fractionally Integrated Errors ⋮ Finite sample performance of frequency- and time-domain tests for seasonal fractional integration ⋮ Estimation of fractional integration in the presence of data noise ⋮ A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC ⋮ HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT ⋮ TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN ⋮ Optimal Fractional Dickey–Fuller tests ⋮ Modelling long-run trends and cycles in financial time series data ⋮ Wavelet energy ratio unit root tests ⋮ Testing fractional unit roots with non-linear smooth break approximations using Fourier functions ⋮ Inference on the cointegration rank in fractionally integrated processes. ⋮ Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets ⋮ The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain
This page was built for publication: THE NONSTATIONARY FRACTIONAL UNIT ROOT
