We propose a nonlinear heterogeneous unit root test for testing the null hypothesis of unitroots processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes....

In the literature, there are not satisfactory methods for measuring and presenting the performance of confidence regions. In this paper, techniques for measuring effectiveness of confidence regions and for the graphical display of simulation evidence as regards the coverage and effectiveness of...

In the context of long memory, the finite-sample distortion of statistic distributions is so large, that bootstrap confidence intervals (percentile and percentile-t) for the long memory parameter do not perform better than the corresponding asymptotic confidence interval. In this paper, we...