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2005-10-17Buch DOI: 10.18452/3614
The Power of the Tests of Robinson (1994) in the Context of Fractionally Integrated Moving Average Models
dc.contributor.authorGil-Alaña, Luis A.
dc.date.accessioned2017-06-15T21:33:55Z
dc.date.available2017-06-15T21:33:55Z
dc.date.created2005-10-17
dc.date.issued2005-10-17
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4266
dc.description.abstractWe examine in this article the power of the tests of Robinson (1994) for testing I(d) statistical models in the presence of moving average (MA) disturbances. The results show that the tests behave relatively well if we correctly assume that the disturbances are MA. However, assuming white noise or autoregressive disturbances, the power of the tests against one-sided alternatives is very low.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectMonte Carlo simulationseng
dc.subjectFractional integrationeng
dc.subject.ddc330 Wirtschaft
dc.titleThe Power of the Tests of Robinson (1994) in the Context of Fractionally Integrated Moving Average Models
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10050345
dc.identifier.doihttp://dx.doi.org/10.18452/3614
local.edoc.pages7
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2001
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber2001,66

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