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  • Search: subject:"Long memory I(d) and ESTAR processes"
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Long memory I(d) and ESTAR processes 1 Monte Carlo simulations 1 Real exchange rates 1 Real interest rates 1 The Wald tests 1
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Kapetanios, George 1 Shin, Yongcheol 1
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Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model
Kapetanios, George; Shin, Yongcheol - In: Econometric Reviews 30 (2011) 6, pp. 620-645
Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This paper provides a formal method of testing for nonstationary long memory against the alternative of a particular form of nonlinear ergodic processes; namely, exponential smooth...
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