Semiparametric and nonparametric testing for long memory: A Monte Carlo study
نویسندگان
چکیده
منابع مشابه
Semiparametric and Nonparametric Testing for Long Memory: A Monte Carlo Study
The nite sample properties of three semiparametric estimators, several versions of the modiied rescaled range, MRR, and three versions of the GHURST estimator are investigated. Their power and size for testing for long memory under short-run eeects, joint short and long-run eeects, heteroscedasticity and t-distributions are given using Monte Carlo methods. The MRR with the Bartlett window is ge...
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ژورنال
عنوان ژورنال: Empirical Economics
سال: 1997
ISSN: 0377-7332,1435-8921
DOI: 10.1007/bf01205358