Search Results - subject:"spurious long memory"

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

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

Estimation and testing in a perturbed multivariate long memory framework

Less, Vivien; Sibbertsen, Philipp - 2022

Persistent link: https://www.econbiz.de/10014247836

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

Long memory and structural breaks of cryptocurrencies trading volume

Ahmed, Mohamed Shaker; Bouri, Elie - In: Eurasian economic review : a journal in applied … 13 (2023) 3/4, pp. 469-497

Persistent link: https://www.econbiz.de/10014451988

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