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On the power of R/S-type tests under contiguous and semi-long memory alternatives

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  • GIRAITIS, Liudas
  • KOKOSZKA, Piotr
  • LEIPUS, Remigijus
  • TEYSSIÈRE, Gilles

Abstract

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Suggested Citation

  • GIRAITIS, Liudas & KOKOSZKA, Piotr & LEIPUS, Remigijus & TEYSSIÈRE, Gilles, 2003. "On the power of R/S-type tests under contiguous and semi-long memory alternatives," LIDAM Reprints CORE 1638, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:1638
    DOI: 10.1023/A:1025702003631
    Note: In : Acta Applicandae Mathematicae,78, 285-299, 2003
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    Cited by:

    1. Kirman, Alan & Teyssiere, Gilles, 2005. "Testing for bubbles and change-points," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 765-799, April.
    2. Novak, S.Y., 2004. "On Gebelein's correlation coefficient," Statistics & Probability Letters, Elsevier, vol. 69(3), pages 299-303, September.
    3. Kris Brabanter & Farzad Sabzikar, 2021. "Asymptotic theory for regression models with fractional local to unity root errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(7), pages 997-1024, October.
    4. Yixun Xing & Wayne A. Woodward, 2021. "R-Squared-Bootstrapping for Gegenbauer-Type Long Memory," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 773-790, February.

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