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Long memory and changing persistence
Kruse, Robinson; Sibbertsen, Philipp - In: Economics letters 114 (2012) 3, pp. 268-272
Persistent link: https://www.econbiz.de/10009550790
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On tests for linearity against STAR models with deterministic trends
Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - In: Economics letters 117 (2012) 1, pp. 268-271
Persistent link: https://www.econbiz.de/10009697775
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A note on the size of the KPSS unit root test
Su, Jen-je; Amsler, Christine Elaine; Schmidt, Peter - In: Economics letters 117 (2012) 3, pp. 697-699
Persistent link: https://www.econbiz.de/10009680830
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Distinguishing between breaks in the mean and breaks in persistence under long memory
Wingert, Simon; Mboya, Mwasi Paza; Sibbertsen, Philipp - In: Economics letters 193 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012509210
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Alternative unit root testing strategies using the Fourier approximation
Su, Jen-je; Nguyen, Jeremy K. - In: Economics letters 121 (2013) 1, pp. 8-11
Persistent link: https://www.econbiz.de/10010187129
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Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis
Yang, Lixiong; Lee, Chingnun; Su, Jen-je - In: Economics letters 159 (2017), pp. 128-133
Persistent link: https://www.econbiz.de/10011903459
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A simple test on structural change in long-memory time series
Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - In: Economics letters 163 (2018), pp. 90-94
Persistent link: https://www.econbiz.de/10011982960
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Inference on the long-memory properties of time series with non-stationary volatility
Demetrescu, Matei; Sibbertsen, Philipp - In: Economics letters 144 (2016), pp. 80-84
Persistent link: https://www.econbiz.de/10011617209
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Explaining the time-varying effects of oil market shocks on US stock returns
Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - In: Economics letters 155 (2017), pp. 84-88
Persistent link: https://www.econbiz.de/10011821575