Sign Tests for Long-memory Time Series

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dc.contributor.author Delgado, Miguel A.
dc.contributor.author Velasco, Carlos
dc.date.accessioned 2009-06-24T12:16:57Z
dc.date.available 2009-06-24T12:16:57Z
dc.date.issued 2005
dc.identifier.bibliographicCitation Journal of Econometrics, 2005, vol. 128, nº 2, p. 215-251
dc.identifier.issn 0304-4076
dc.identifier.uri http://hdl.handle.net/10016/2492
dc.description.abstract This paper proposes sign-based tests for simple and composite hypotheses on the long-memory parameter of a time series process. The tests allow for nonstationary hypothesis, such as unit root, as well as for stationary hypotheses, such as weak dependence or no integration. The proposed generalized Lagrange multiplier sign tests for simple hypotheses on the long-memory parameter are exact and locally optimal among those in their class. We also propose tests for composite hypotheses on the parameters of ARFIMA processes. The resulting tests statistics have a standard normal limiting distribution under the null hypothesis.
dc.format.mimetype text/plain
dc.format.mimetype application/pdf
dc.language.iso eng
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier
dc.subject.other Exact tests
dc.subject.other Nonparametric tests
dc.subject.other Infinite variance
dc.subject.other Long-range dependence
dc.subject.other Fractional processes
dc.subject.other Nonstationarity
dc.subject.other Optimal test
dc.title Sign Tests for Long-memory Time Series
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/j.jeconom.2004.08.013
dc.subject.jel C12
dc.subject.jel C22
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/j.jeconom.2004.08.013
dc.rights.accessRights openAccess
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