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  • Search: subject:"Spurious Long Memory"
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Year of publication
Subject
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Spurious Long Memory 14 Zeitreihenanalyse 14 Time series analysis 13 Estimation theory 10 Schätztheorie 10 Nichtparametrisches Verfahren 7 Nonparametric statistics 7 spurious long memory 7 Long Memory 6 Structural Change 6 Volatility 6 Spurious long memory 5 ARMA model 4 ARMA-Modell 4 Fractional integration 4 Lagrange multiplier testing principle 4 Monte Carlo simulation 4 Perturbation 4 Structural break 4 Strukturbruch 4 Theorie 4 Volatilität 4 ARCH model 3 ARCH-Modell 3 Einheitswurzeltest 3 Multivariate Long Memory 3 Semiparametric Estimation 3 Stochastic process 3 Stochastischer Prozess 3 Structural breaks models 3 Theory 3 Unit root test 3 conditional heteroskedasticity 3 inflation series 3 level breaks 3 local Whittle likelihood 3 perturbation 3 Aggregation 2 Breaks 2 Change point 2
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Online availability
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Free 30
Type of publication
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Book / Working Paper 26 Article 4
Type of publication (narrower categories)
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Working Paper 18 Graue Literatur 10 Non-commercial literature 10 Arbeitspapier 9 Article in journal 3 Aufsatz in Zeitschrift 3 Article 1 Aufsatzsammlung 1 Hochschulschrift 1
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Language
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English 24 Undetermined 6
Author
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Sibbertsen, Philipp 17 Leschinski, Christian 11 Busch, Marie 6 Iacone, Fabrizio 4 Nielsen, Morten Ørregaard 4 Taylor, Robert 4 Charfeddine, Lanouar 3 Guegan, Dominique 3 Holzhausen, Marie 3 Kuswanto, Heri 2 Less, Vivien 2 Rinke, Saskia 2 Wenger, Kai 2 Busch, Marie Theres 1 Dias, Gustavo Fruet 1 Dierkes, Maik 1 Figueroa, Renzo Pardo 1 Leschinski, Christian H. 1 Papailias, Fotis 1 Rodríguez, Gabriel 1 Wenger, Kai R. 1
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Institution
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HAL 2 Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 2 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Departamento de Economía, Pontificia Universidad Católica del Perú 1 Gottfried Wilhelm Leibniz Universität Hannover 1 School of Economics and Management, University of Aarhus 1
Published in...
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Hannover Economic Papers (HEP) 9 Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP) 7 CREATES Research Papers 1 CREATES research paper 1 Diskussionsbeitrag 1 Documentos de Trabajo / Working Papers 1 Documents de travail du Centre d'Economie de la Sorbonne 1 Econometrics 1 Econometrics : open access journal 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Post-Print / HAL 1 Quantitative finance and economics 1 Queen's Economics Department working paper 1 Queen’s Economics Department Working Paper 1 Working Papers / HAL 1
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Source
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ECONIS (ZBW) 13 EconStor 10 RePEc 7
Showing 1 - 10 of 30
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Estimation and testing in a perturbed multivariate long memory framework
Less, Vivien; Sibbertsen, Philipp - 2022
long memory under a perturbed fractional framework. The test statistic is based on the weighted sum of the partial … increase in the asymptotic variance of the estimator. Further, we introduce a multivariate testing procedure to detect spurious …
Persistent link: https://www.econbiz.de/10014471672
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Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 880-896
Persistent link: https://www.econbiz.de/10013534577
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Cover Image
Estimation and testing in a perturbed multivariate long memory framework
Less, Vivien; Sibbertsen, Philipp - 2022
long memory under a perturbed fractional framework. The test statistic is based on the weighted sum of the partial … increase in the asymptotic variance of the estimator. Further, we introduce a multivariate testing procedure to detect spurious …
Persistent link: https://www.econbiz.de/10014247836
Saved in:
Cover Image
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2021
Persistent link: https://www.econbiz.de/10012434016
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Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2020
Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for...
Persistent link: https://www.econbiz.de/10012431074
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Cover Image
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2020
Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for...
Persistent link: https://www.econbiz.de/10012243070
Saved in:
Cover Image
An overview of modified semiparametric memory estimation methods
Busch, Marie; Sibbertsen, Philipp - In: Econometrics 6 (2018) 1, pp. 1-21
a spurious long-memory process. …
Persistent link: https://www.econbiz.de/10011995214
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An overview of modified semiparametric memory estimation methods
Busch, Marie; Sibbertsen, Philipp - 2018
a spurious long-memory process. …
Persistent link: https://www.econbiz.de/10012030914
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Cover Image
The periodogram of spurious long-memory processes
Leschinski, Christian; Sibbertsen, Philipp - 2018
We derive the properties of the periodogram local to the zero frequency for a large class of spurious long-memory … extended. All of the spurious long-memory processes considered share the property that their impact on the periodogram at the …
Persistent link: https://www.econbiz.de/10012030918
Saved in:
Cover Image
The periodogram of spurious long-memory processes
Leschinski, Christian; Sibbertsen, Philipp - 2018
We derive the properties of the periodogram local to the zero frequency for a large class of spurious long-memory … extended. All of the spurious long-memory processes considered share the property that their impact on the periodogram at the …
Persistent link: https://www.econbiz.de/10011867706
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