ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY

DOI10.1017/S0266466615000481zbMath1441.62724OpenAlexW2606738787MaRDI QIDQ5349015

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Publication date: 22 August 2017

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

Full work available at URL: https://doi.org/10.1017/s0266466615000481

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ Adaptive estimation of AR(\(\infty\)) models with time-varying variances ⋮ RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT—ADDENDUM

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