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.
- Uwe Hassler & Antonio Rubia & Paulo M.M. Rodrigues, 2014. "Persistence in the Banking Industry: Fractional integration and breaks in memory," Working Papers w201406, 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.
- Martins, Luis F. & Rodrigues, Paulo M.M., 2014.
"Testing for persistence change in fractionally integrated models: An application to world inflation rates,"
Computational Statistics & Data Analysis,
Elsevier, vol. 76(C), pages 502-522.
- 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.
- Uwe Hassler & Barbara Meller, 2014.
"Detecting multiple breaks in long memory the case of U.S. inflation,"
Springer, vol. 46(2), pages 653-680, March.
- Hassler, Uwe & Meller, Barbara, 2011. "Detecting multiple breaks in long memory: The case of US inflation," Discussion Paper Series 1: Economic Studies 2011,26, Deutsche Bundesbank, Research Centre.
- Giuseppe Cavaliere & Morten Ã˜rregaard Nielsen & A.M. Robert Taylor, 2013.
"Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets,"
1309, Queen's University, Department of Economics.
- Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, School of Economics and Management, University of Aarhus.
- Giuseppe Cavaliere & Morten Ã˜rregaard Nielsen & A. M. Robert Taylor, 2014. "Quasi-Maximum Likelihood Estimation of Heteroskedastic Fractional Time Series Models," Working Papers 1324, Queen's University, Department of Economics.
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