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Sign tests for long-memory time series

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  • Delgado, Miguel A.
  • Velasco, Carlos

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 128 (2005)
Issue (Month): 2 (October)
Pages: 215-251

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Handle: RePEc:eee:econom:v:128:y:2005:i:2:p:215-251

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. William R. Parke, 1999. "What Is Fractional Integration?," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 632-638, November.
  2. Phillips, Peter C.B., 1995. "Robust Nonstationary Regression," Econometric Theory, Cambridge University Press, vol. 11(05), pages 912-951, October.
  3. Dufour, J.M. & Campbell, B., 1993. "Exact Nonparametric Orthogonality and Random Walk Tests," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9326, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
  5. D Marinucci & Peter Robinson, 2001. "Narrow-band analysis of nonstationary processes," LSE Research Online Documents on Economics 2015, London School of Economics and Political Science, LSE Library.
  6. M. N. Hasan & R. W. Koenker, 1997. "Robust Rank Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 65(1), pages 133-162, January.
  7. Breitung, Jorg & Gourieroux, Christian, 1997. "Rank tests for unit roots," Journal of Econometrics, Elsevier, Elsevier, vol. 81(1), pages 7-27, November.
  8. Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(04), pages 549-582, August.
  9. Wright, Jonathan H, 2000. "Alternative Variance-Ratio Tests Using Ranks and Signs," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 18(1), pages 1-9, January.
  10. Kokoszka, Piotr S. & Taqqu, Murad S., 1995. "Fractional ARIMA with stable innovations," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 60(1), pages 19-47, November.
  11. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, Elsevier, vol. 47(1), pages 67-84, January.
  12. D. Marinucci & Peter M. Robinson, 2001. "Narrow-band analysis of nonstationary processes," LSE Research Online Documents on Economics 303, London School of Economics and Political Science, LSE Library.
  13. Bai, Jushan & Ng, Serena, 2001. "A consistent test for conditional symmetry in time series models," Journal of Econometrics, Elsevier, Elsevier, vol. 103(1-2), pages 225-258, July.
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Cited by:
  1. Katarzyna Lasak, 2008. "Likelihood based testing for no fractional cointegration," CREATES Research Papers 2008-52, School of Economics and Management, University of Aarhus.
  2. Ignacio N. Lobato & Carlos Velasco, 2004. "Optimal Fractional Dickey-Fuller Tests for Unit Roots," Working Papers, Centro de Investigacion Economica, ITAM 0401, Centro de Investigacion Economica, ITAM.
  3. Ignacio N Lobato & Carlos Velasco, 2007. "Efficient Wald Tests for Fractional Unit Roots," Econometrica, Econometric Society, Econometric Society, vol. 75(2), pages 575-589, 03.
  4. 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.

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