Testing for Nonstationary Long Memory against Nonlinear Ergodic Models
نویسندگان
چکیده
منابع مشابه
Nonlinear Ergodic Models Testing for nonstationary long memory against nonlinear ergodic models
Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This paper provides a formal method of testing for nonstationary long memory against the alternative of particular forms of nonlinerarity. The nonlinear models we consider are ESTAR and SETAR models. We provide analysis on the asymptotic properties of the tests and carry out a detail...
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∗Department of Mathematics, Technion-Israel Institute of Technology ∗∗Vologda State Pedagogical University and Vologda Scientific Coordinate Centre of CEMI RAS, Vologda, Russia email: [email protected] Received October 14, 2002 Evaluation of the rate of convergence of stochastic models, as time t → ∞, has been a subject of investigation by generations of probabilists. During the last two de...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.429100