Testing fractional order of long memory processes : a Monte Carlo study.
Year of publication: |
2008-02
|
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Authors: | Ferrara, Laurent ; Guegan, Dominique ; Lu, Zhiping |
Institutions: | Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) |
Subject: | Long memory processes | test | Monte Carlo simulations |
Extent: | application/pdf |
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Series: | Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 15 pages |
Classification: | C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models |
Source: |
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