Behaviour of skewness, kurtosis and normality tests in long memory data
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Volume (Year): 19 (2010)
Issue (Month): 2 (June)
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- Lobato, Ignacio N. & Velasco, Carlos, 2004. "A Simple Test Of Normality For Time Series," Econometric Theory, Cambridge University Press, vol. 20(04), pages 671-689, August.
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- Mohamed Boutahar & Velayoudom Marimoutou & Leila Nouira, 2007. "Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(3), pages 261-301.
- Ahdi Ajmi & Adnen Ben Nasr & Mohamed Boutahar, 2008. "Seasonal Nonlinear Long Memory Model for the US Inflation Rates," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 243-254, April.
- Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July. Full references (including those not matched with items on IDEAS)