On the Power of R/S-Type Tests under Contiguous and Semi-Long Memory Alternatives

Acta Applicandae Mathematicae

Volumn 78, Issue 1-3, 2003, Pages 285-299

  Giraitis, Liudas ^a   Kokoszka, Piotr ^b   Leipus, Remigijus ^c   Teyssière, Gilles ^d  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b UTAH STATE UNIVERSITY   (United States)

^c VILNIUS UNIVERSITY   (Lithuania)

^d NONE

Author keywords

ARCH processes; Gegenbauer process; KPSS statistic; Linear ARCH; Long memory; Modified R S statistic; Semi long memory; V S statistic

Indexed keywords

MATHEMATICAL MODELS; STATISTICAL METHODS;

SEMI-LONG MEMORY ALTERNATIVES;

RANDOM PROCESSES;

EID: 0142250450     PISSN: 01678019     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1025702003631     Document Type: Conference Paper

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