A test of the null of integer integration against the alternative of fractional integration

DOI10.1016/j.jeconom.2015.02.023zbMath1337.62251OpenAlexW2004914434MaRDI QIDQ494391

Yong-Cai Geng, Sumit K. Garg

Publication date: 1 September 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.023

zbMATH Keywords

unit rootfractionally integrated processshort memory

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Size and power of tests of stationarity in highly autocorrelated time series
• A robust version of the KPSS test based on indicators
• Rank tests for short memory stationarity
• The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations
• 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?
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Modified Lagrange multiplier tests for problems with one-sided alternatives
• The KPSS stationarity test as a unit root test
• On large-sample estimation for the mean of a stationary random sequence
• On the power of unit root tests against fractional alternatives
• On the power of stationarity tests using optimal bandwidth estimates
• Inference on the cointegration rank in fractionally integrated processes.
• Nonparametric tests for unit roots and cointegration.
• Rescaled variance and related tests for long memory in volatility and levels
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Testing the Null Hypothesis of Stationarity Against an Autoregressive Unit Root Alternative
• A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS
• A Comparison of the Robustness of Several Tests of Short Memory to Autocorrelated Errors
• MODIFIED KPSS TESTS FOR NEAR INTEGRATION
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• The Fractional Unit Root Distribution
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
• TESTING FOR LONG MEMORY
• Testing for unit roots in autoregressive-moving average models of unknown order
• On the Theory of Testing for Unit Roots in Observed Time Series
• Testing for a unit root in time series regression
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Integration Versus Trend Stationary in Time Series
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Long-Term Memory in Stock Market Prices
• Efficient Tests of Nonstationary Hypotheses
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Generalizations of the KPSS‐test for stationarity
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Efficient Tests for an Autoregressive Unit Root
• The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series
• Efficient Wald Tests for Fractional Unit Roots
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Fractional Brownian Motions, Fractional Noises and Applications
• The Invariance Principle for Stationary Processes