A joint test of fractional cyclic integration and a linear time trend

DOI10.1080/00949650108812149zbMath1003.62073OpenAlexW2006638976MaRDI QIDQ4534174

Luis A. Gil-Alana

Publication date: 2 February 2003

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4189

zbMATH Keywords

long memorydeterministic trendsfractional cycles

Mathematics Subject Classification ID

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

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Cites Work

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• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE