A Study on "Spurious Long Memory in Nonlinear Time Series Models"
Year of publication: |
2008-11
|
---|---|
Authors: | Kuswanto, Heri ; Sibbertsen, Philipp |
Institutions: | Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover |
Subject: | long memory | nonlinear time series | regime switching |
Extent: | application/pdf |
---|---|
Series: | Hannover Economic Papers (HEP). - ISSN 0949-9962. |
Type of publication: | Book / Working Paper |
Notes: | 26 pages |
Classification: | C12 - Hypothesis Testing ; C22 - Time-Series Models |
Source: |
-
A Study on spurious long memory in nonlinear time series models
Kuswanto, Heri, (2008)
-
A simple test on structural change in long-memory time series
Wenger, Kai, (2017)
-
Change-in-mean tests in long-memory time series : a review of recent developments
Wenger, Kai, (2017)
- More ...
-
Testing for Long Memory Against ESTAR Nonlinearities
Kuswanto, Heri, (2009)
-
Can we distinguish between common nonlinear time series models and long memory?
Kuswanto, Heri, (2007)
-
A New Simple Test Against Spurious Long Memory Using Temporal Aggregation
Kuswanto, Heri, (2009)
- More ...