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Estimating Long Memory in Panel Random‐Coefficient AR(1) Data
Leipus, Remigijus; Philippe, Anne; Pilipauskaitė, Vytautė - In: Journal of Time Series Analysis 41 (2020) 4, pp. 520-535
Persistent link: https://www.econbiz.de/10012192371
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On the power of R/S-type tests under contiguous and semi-long memory alternatives
GIRAITIS, Liudas; KOKOSZKA, Piotr; LEIPUS, Remigijus; … - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926655
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Rescaled variance and related tests for long memory in volatility and levels
GIRAITIS, Liudas; KOKOSZKA, Piotr; LEIPUS, Remigijus; … - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926657
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Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - In: Statistical Inference for Stochastic Processes 3 (2000) 1, pp. 113-128
Persistent link: https://www.econbiz.de/10005616050
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Rescaled variance and related tests for long memory in volatility and levels
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - In: Journal of Econometrics 112 (2003) 2, pp. 265-294
Persistent link: https://www.econbiz.de/10005285552
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Corrigendum to "Rescaled variance and related tests for long memory in volatility and levels": [J. Econom. 112 (2003) 265-294]
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - In: Journal of Econometrics 126 (2005) 2, pp. 571-572
Persistent link: https://www.econbiz.de/10005192262
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On the power of R/S-type tests under contiguous and semi-long memory alternatives
GIRAITIS, Liudas; KOKOSZKA, Piotr; LEIPUS, Remigijus; … - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010695221
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Rescaled variance and related tests for long memory in volatility and levels
GIRAITIS, Liudas; KOKOSZKA, Piotr; LEIPUS, Remigijus; … - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010695570
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Bayesian analysis of autoregressive moving average processes with unknown orders
Philippe, Anne - In: Computational Statistics & Data Analysis 51 (2006) 3, pp. 1904-1923
Persistent link: https://www.econbiz.de/10005165398
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A note on the confidence properties of reference priors for the calibration model
Philippe, Anne; Robert, Christian - In: TEST: An Official Journal of the Spanish Society of … 7 (1998) 1, pp. 147-160
Persistent link: https://www.econbiz.de/10005166818