In this paper, we propose new tests for long memory in stationary and nonstationary time series possibly perturbed by short-run noise which may be serially corr

A modern and rigorous introduction to long-range dependence and self-similarity, complemented by numerous more specialized up-to-date topics in this research ar

Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This paper provides a formal method of testing