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Sign tests for long-memory time series

  • Delgado, Miguel A.
  • Velasco, Carlos

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4DGDC04-3/2/6a507802d7822ff2e6d076a8b4d5701b
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. M. N. Hasan & R. W. Koenker, 1997. "Robust Rank Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 65(1), pages 133-162, January.
  2. Wright, Jonathan H, 2000. "Alternative Variance-Ratio Tests Using Ranks and Signs," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 1-9, January.
  3. Dufour, J.M. & Campbell, B., 1993. "Exact Nonparametric Orthogonality and Random Walk Tests," Cahiers de recherche 9326, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. Kokoszka, Piotr S. & Taqqu, Murad S., 1995. "Fractional ARIMA with stable innovations," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 19-47, November.
  5. Peter C.B. Phillips, 1993. "Robust Nonstationary Regression," Cowles Foundation Discussion Papers 1064, Cowles Foundation for Research in Economics, Yale University.
  6. Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(04), pages 549-582, August.
  7. 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.
  8. Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
  9. Breitung, Jörg & Gouriéroux, Christian, 1996. "Rank tests for unit roots," SFB 373 Discussion Papers 1996,9, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  10. 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.
  11. Bai, Jushan & Ng, Serena, 2001. "A consistent test for conditional symmetry in time series models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 225-258, July.
  12. William R. Parke, 1999. "What Is Fractional Integration?," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 632-638, November.
  13. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
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