Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
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DOI: 10.1080/03610911003646381
Note: View the original document on HAL open archive server: https://hal.science/hal-00486655
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- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010. "Testing Fractional Order of Long Memory Processes: A Monte Carlo Study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00486655, HAL.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010. "Testing Fractional Order of Long Memory Processes: A Monte Carlo Study," PSE-Ecole d'économie de Paris (Postprint) hal-00486655, HAL.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes : a Monte Carlo study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00259193, HAL.
- Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes: a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne b08012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
References listed on IDEAS
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- Abdou Kâ Diongue & Dominique Guegan & Bertrand Vignal, 2009. "Forecasting electricity spot market prices with a k-factor GIGARCH process," PSE-Ecole d'économie de Paris (Postprint) halshs-00307606, HAL.
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Cited by:
- Laurent Ferrara & Dominique Guégan, 2008.
"Business surveys modelling with Seasonal-Cyclical Long Memory models,"
Economics Bulletin, AccessEcon, vol. 3(29), pages 1-10.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," PSE-Ecole d'économie de Paris (Postprint) halshs-00283710, HAL.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with seasonal-cyclical long memory models," Documents de travail du Centre d'Economie de la Sorbonne b08035, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Ferrara, L. & Guégan, D., 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Working papers 224, Banque de France.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00277379, HAL.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00283710, HAL.
- Dominique Guegan & Zhiping Lu, 2010. "Testing unit roots and long range dependence of foreign exchange," Post-Print halshs-00505117, HAL.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Post-Print halshs-00283710, HAL.
- repec:ebl:ecbull:v:3:y:2008:i:29:p:1-10 is not listed on IDEAS
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Post-Print halshs-00277379, HAL.
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More about this item
Keywords
Long memory processes; test; Monte Carlo simulations; Processus de longue mémoire; simulation de Monte Carlo;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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