Testing for Long Memory Against ESTAR Nonlinearities
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More about this item
Keywords
directed-Wald test; ESTAR; long memory;
All these keywords.JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-08-30 (Econometrics)
- NEP-ETS-2009-08-30 (Econometric Time Series)
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