Goodness-of-fit tests for long memory moving average marginal density
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References listed on IDEAS
- Bachmann, Dirk & Dette, Holger, 2005. "A note on the Bickel-Rosenblatt test in autoregressive time series," Statistics & Probability Letters, Elsevier, pages 221-234.
- Giraitis, Liudas & Koul, Hira L. & Surgailis, Donatas, 1996. "Asymptotic normality of regression estimators with long memory errors," Statistics & Probability Letters, Elsevier, pages 317-335.
- Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006.
"Consistent estimation of the memory parameter for nonlinear time series,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 27(2), pages 211-251, March.
- V Dalla & L Giraitis & J Hidalgo, "undated". "Consistent estimation of the memory parameter for nonlinear time series," Discussion Papers 05/17, Department of Economics, University of York.
- Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series /06/497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hira L. Koul & Nao Mimoto & Donatas Surgailis, 2016. "A goodness-of-fit test for marginal distribution of linear random fields with long memory," Metrika: International Journal for Theoretical and Applied Statistics, Springer, pages 165-193.
- Taufer, Emanuele, 2015. "On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications," Statistics & Probability Letters, Elsevier, pages 262-271.
More about this item
KeywordsKernel density estimator; Chi square distribution; Residual empirical process;
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