Sieve bootstrap test for changes between unit root and long memory process with time trend-Reference-Cited by-同舟云学术

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Sieve bootstrap test for changes between unit root and long memory process with time trend

Published:2022-06-06 Issue: Volume: Page:1-14
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Chen Zhanshou¹²,Peng Muci¹,Xi Li¹,Hao Huibing³

Affiliation:

1. School of Mathematics and Statistics, Qinghai Normal University, Xining, China

2. The State Key Laboratory of Tibetan Intelligent Information Processing and Application, Xining, China

3. Department of Mathematics and Statistics, Hubei Engineering University, Xiaogan, China

Funder

National Natural Science Foundation of China

Natural Science Foundation of Qinghai Province

Humanity and Social Science Foundation of Ministry of Education of China

Technology Creative Project of Excellent Middle & Young Team of Hubei Province

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2022.2077958

Reference28 articles.

1. Nonstationarity-extended local Whittle estimation

2. Tests of stationarity against a change in persistence

3. On the First-Order Autoregressive Process with Infinite Variance

4. Bootstrap testing multiple changes in persistence for a heavy-tailed sequence

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