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A simple fractionally integrated model with a time-varying long memory parameter d t

Boutahar, Mohamed; Dufrénot, Gilles; … - In: Computational economics 31 (2008) 3, pp. 225-241

Persistent link: https://www.econbiz.de/10003691880

Optimal prediction with nonstationary ARFIMA model

Boutahar, Mohamed - In: Journal of forecasting 26 (2007) 2, pp. 95-111

Persistent link: https://www.econbiz.de/10003437288

Behaviour of skewness, kurtosis and normality tests in long memory data

Boutahar, Mohamed - In: Statistical methods & applications : SMA ; journal of … 19 (2010) 2, pp. 193-215

Persistent link: https://www.econbiz.de/10003983085

Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form

Peguin-Feissolle, Anne - 2008

In this paper we propose a general method for testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. These tests are based on a Taylor expansion of the nonlinear model around a given point in the sample space. We study the performance of our tests...

Persistent link: https://www.econbiz.de/10012723989