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Long memory and changing persistence
Kruse, Robinson; Sibbertsen, Philipp - In: Economics letters 114 (2012) 3, pp. 268-273
Persistent link: https://www.econbiz.de/10009825467
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On tests for linearity against STAR models with deterministic trends
Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - In: Economics letters 117 (2012) 1, pp. 268-272
Persistent link: https://www.econbiz.de/10010018230
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Long memory and changing persistence
Kruse, Robinson; Sibbertsen, Philipp - In: Economics letters 114 (2012) 3, pp. 268-272
Persistent link: https://www.econbiz.de/10009550790
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On tests for linearity against STAR models with deterministic trends
Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - In: Economics letters 117 (2012) 1, pp. 268-271
Persistent link: https://www.econbiz.de/10009697775
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A modified test against spurious long memory
Kruse, Robinson - In: Economics letters 135 (2015), pp. 34-38
Persistent link: https://www.econbiz.de/10011434828
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Tests of bias in log-periodogram regression
Davidson, James; Sibbertsen, Philipp - In: Economics letters 102 (2009) 2, pp. 83-86
Persistent link: https://www.econbiz.de/10008170741
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The power of the KPSS-test for cointegration when residuals are fractionally integrated
Sibbertsen, Philipp; Krämer, Walter - In: Economics letters 91 (2006) 3, pp. 321-324
Persistent link: https://www.econbiz.de/10007259472
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Tests of bias in log-periodogram regression
Davidson, James; Sibbertsen, Philipp - In: Economics letters 102 (2009) 2, pp. 83-87
Persistent link: https://www.econbiz.de/10008882501
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Inference on the long-memory properties of time series with non-stationary volatility
Demetrescu, Matei; Sibbertsen, Philipp - In: Economics letters 144 (2016), pp. 80-84
Persistent link: https://www.econbiz.de/10011617209
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Distinguishing between breaks in the mean and breaks in persistence under long memory
Wingert, Simon; Mboya, Mwasi Paza; Sibbertsen, Philipp - In: Economics letters 193 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012509210