论文检索

允许条件异方差的多变量分数积分检验：收益波动率与成交量应用AI 解读

Summary We introduce a new joint test for the order of fractional integration of a multivariate fractionally integrated vector autoregressive (FIVAR) time series based on applying the Lagrange multiplier principle to a feasible generalised least squares estimate of the FIVAR model obtained under the null hypothesis. A key feature of the test we propose is that it is constructed using a heteroskedasticity‐robust estimate of the variance matrix. As a result, the test has a…

一般分数整合的时域检验AI 解读

We propose a family of least-squares–based testing procedures that look to detect general forms of fractional integration at the long-run and/or the cyclical component of a time series, and that are asymptotically equivalent to Lagrange multiplier tests. Our setting extends Robinson’s (1994) results to allow for short memory in a regression framework and generalizes the procedures in Agiakloglou and Newbold (1994), Tanaka (1999), and Breitung and Hassler (2002) by allowing…