Local asymptotic powers of nonparametric and semiparametric tests for fractional integration

DOI10.1016/j.spa.2006.08.002zbMath1115.62052OpenAlexW2156188793MaRDI QIDQ867849

Xiao-Feng Shao, Wei-Biao Wu

Publication date: 19 February 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2006.08.002

zbMATH Keywords

long memoryLagrange multiplier testKPSS testlocal Whittle estimationR/S test

Mathematics Subject Classification ID

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

Related Items

Strictly stationary solutions of ARMA equations with fractional noise

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