On the power of underdifferencing and over differencing tests against nearly nonstationary alternatives

Detalhes bibliográficos
Autor(a) principal: Crato, Nuno
Data de Publicação: 1997
Outros Autores: Lima, Pedro de
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27685
Resumo: The choice of the appropriate degree of integration is a very important question in ARIMA time series modeling. This choice is particularly difficult in the presence of either a nearly nonstationary autoregression or a fractionally integrated process. Via a Monte Carlo study we assess the size and power of MA, AR and spectral estimation tests in the presence of fractionally integrated, nearly nonstationary, and nearly noninvertible processes.
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spelling On the power of underdifferencing and over differencing tests against nearly nonstationary alternativesARIMAARFIMAARMA Unit RootsThe choice of the appropriate degree of integration is a very important question in ARIMA time series modeling. This choice is particularly difficult in the presence of either a nearly nonstationary autoregression or a fractionally integrated process. Via a Monte Carlo study we assess the size and power of MA, AR and spectral estimation tests in the presence of fractionally integrated, nearly nonstationary, and nearly noninvertible processes.Taylor & FrancisRepositório da Universidade de LisboaCrato, NunoLima, Pedro de2023-05-02T10:56:37Z19971997-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27685engCrato, Nuno and Pedro de Lima .(1997). “On the power of underdifferencing and over differencing tests against nearly nonstationary alternatives”. Simulation and Computation, Vol. 26, No. 4: pp. 1431-1446. (Search PDF in 2023).1532-4141 (Online)10.1080/03610919708813448info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-05-07T01:30:54Zoai:www.repository.utl.pt:10400.5/27685Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:50:57.046307Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv On the power of underdifferencing and over differencing tests against nearly nonstationary alternatives
title On the power of underdifferencing and over differencing tests against nearly nonstationary alternatives
spellingShingle On the power of underdifferencing and over differencing tests against nearly nonstationary alternatives
Crato, Nuno
ARIMA
ARFIMA
AR
MA Unit Roots
title_short On the power of underdifferencing and over differencing tests against nearly nonstationary alternatives
title_full On the power of underdifferencing and over differencing tests against nearly nonstationary alternatives
title_fullStr On the power of underdifferencing and over differencing tests against nearly nonstationary alternatives
title_full_unstemmed On the power of underdifferencing and over differencing tests against nearly nonstationary alternatives
title_sort On the power of underdifferencing and over differencing tests against nearly nonstationary alternatives
author Crato, Nuno
author_facet Crato, Nuno
Lima, Pedro de
author_role author
author2 Lima, Pedro de
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Crato, Nuno
Lima, Pedro de
dc.subject.por.fl_str_mv ARIMA
ARFIMA
AR
MA Unit Roots
topic ARIMA
ARFIMA
AR
MA Unit Roots
description The choice of the appropriate degree of integration is a very important question in ARIMA time series modeling. This choice is particularly difficult in the presence of either a nearly nonstationary autoregression or a fractionally integrated process. Via a Monte Carlo study we assess the size and power of MA, AR and spectral estimation tests in the presence of fractionally integrated, nearly nonstationary, and nearly noninvertible processes.
publishDate 1997
dc.date.none.fl_str_mv 1997
1997-01-01T00:00:00Z
2023-05-02T10:56:37Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27685
url http://hdl.handle.net/10400.5/27685
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Crato, Nuno and Pedro de Lima .(1997). “On the power of underdifferencing and over differencing tests against nearly nonstationary alternatives”. Simulation and Computation, Vol. 26, No. 4: pp. 1431-1446. (Search PDF in 2023).
1532-4141 (Online)
10.1080/03610919708813448
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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