Testing For General Fractional Integration In The Time Domain
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 25 (2009)
Issue (Month): 06 (December)
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- Uwe Hassler & Matei Demetrescu & Adina Tarcolea, 2011. "Asymptotic normal tests for integration in panels with cross-dependent units," AStA Advances in Statistical Analysis, Springer, vol. 95(2), pages 187-204, June.
- Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2012. "Quantile regression for long memory testing: A case of realized volatility," Working Papers w201207, Banco de Portugal, Economics and Research Department.
- Paulo M.M. Rodrigues & Antonio Rubia & João Valle e Azevedo, 2009. "Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration," Working Papers w200902, Banco de Portugal, Economics and Research Department.
- Luis F. Martins & Paulo M.M. Rodrigues, 2010. "Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates," Working Papers w201030, Banco de Portugal, Economics and Research Department.
- Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2013. "Bootstrap Fractional Integration Tests in Heteroskedastic ARFIMA Models," Working Papers 1309, Queen's University, Department of Economics.
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