Unit root tests using semi-parametric estimators of the long-memory parameter

DOI10.1080/10629360500107998zbMath1112.62091OpenAlexW1989452885MaRDI QIDQ5485072

Valdério Anselmo Reisen, Paula A. Barros, Glaura C. Franco

Publication date: 28 August 2006

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

Full work available at URL: https://doi.org/10.1080/10629360500107998

zbMATH Keywords

bootstraplong memoryADF testsemi-parametric estimatorsprices of soy grain and soy flour

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• bootlib

Cites Work

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• Bootstrap methods: another look at the jackknife
• On the power of unit root tests against fractional alternatives
• Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for a unit root in time series regression
• ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM