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The aim of this paper is motivated by the following question: “If a series were best characterized by fractional process, would a researcher be able to detect that fact by using conventional Dickey-Fuller (1979) test?” To answer this question, in simple framework, we propose a new fractional Dickey-Fuller (F-DF) test, different from the test of Dolado, Gonzalo and Mayoral (2002).
In this note, we consider the problem of order selection of Mixture Periodic Autoregressive (MPAR) models. These models are among the most powerful tools for modeling some stylized features exhibited by many time series such as multimodality, tail heaviness, change in regime, asymmetry and periodicity in the conditional mean. We propose to use a variant of the Akaike information criterion (AIC), for...
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