A two-sample test for comparison of long memory parameters
نویسندگان
چکیده
منابع مشابه
A two-sample test for comparison of long memory parameters
We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for stationarity versus trends and unit roots for a wide class of dependent errors. Econometric Theory 21 [989–1029]. The two samples have the same length and can be mutually independent or dependent. In...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2010
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2010.04.003