Tests of bias in log-periodogram regression
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Publication:1036842
DOI10.1016/j.econlet.2008.11.020zbMath1175.62091OpenAlexW1977425617MaRDI QIDQ1036842
Publication date: 13 November 2009
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2008.11.020
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)
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Uses Software
Cites Work
- Generating schemes for long memory processes: regimes, aggregation and linearity
- Residual log-periodogram inference for long-run relationships
- Asymptotics for duration-driven long range dependent processes
- Broadband log-periodogram regression of time series with long-range dependence
- Log-periodogram regression of time series with long range dependence
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- Specification Tests in Econometrics
- Pooled Log Periodogram Regression
- Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
- Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
- A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
- A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS
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