TY - JOUR
T1 - On semiparametric testing of I(d) by FEXP models
AU - Narukawa, Masaki
PY - 2013
Y1 - 2013
N2 - To statistically test the assumption that a scalar-valued process is I(d), this article proposes a test statistic based on a broadband semiparametric method by use of fractional exponential (FEXP) models. The test is semiparametric in terms of flexibility in modeling spectral density. We establish the asymptotic behavior and report finite-sample performance by a Monte Carlo study.
AB - To statistically test the assumption that a scalar-valued process is I(d), this article proposes a test statistic based on a broadband semiparametric method by use of fractional exponential (FEXP) models. The test is semiparametric in terms of flexibility in modeling spectral density. We establish the asymptotic behavior and report finite-sample performance by a Monte Carlo study.
KW - Fractional exponential models
KW - I(d) processes
KW - Semiparametric testing
UR - http://www.scopus.com/inward/record.url?scp=84877938417&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84877938417&partnerID=8YFLogxK
U2 - 10.1080/03610926.2011.594539
DO - 10.1080/03610926.2011.594539
M3 - Article
AN - SCOPUS:84877938417
SN - 0361-0926
VL - 42
SP - 1637
EP - 1653
JO - Communications in Statistics - Theory and Methods
JF - Communications in Statistics - Theory and Methods
IS - 9
ER -