Finite sample performance of frequency- and time-domain tests for seasonal fractional integration

DOI10.1080/00949655.2012.660489zbMath1431.62073OpenAlexW2049169787MaRDI QIDQ5218872

Paulo M. M. Rodrigues, João Valle e Azevedo, Antonio Rubia

Publication date: 6 March 2020

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

Full work available at URL: https://www.bportugal.pt/sites/default/files/anexos/papers/wp200902.pdf

zbMATH Keywords

seasonalityfractional integrationnon-stationarityLM tests

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03)

Cites Work

• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Inference on the cointegration rank in fractionally integrated processes.
• LONG MEMORY TESTING IN THE TIME DOMAIN
• TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• Efficient Tests of Nonstationary Hypotheses
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• Evaluation of robinson's (1994) Tests in finite samples
• EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS

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