A Score Test For Seasonal Fractional Integration And Cointegration
AbstractThis paper develops a time domain score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models. Further, it introduces the notion of fractional cointegration at different frequencies between two seasonally integrated, I(1) series. In testing problems involving seasonal fractional cointegration, it is argued that the alternative hypothesis is one-sided for which the usual score test may not be appropriate. Therefore, based on ideas in Silvapulle and Silvapulle (1995), a one-sided score statistic is constructed. A simulation study finds that the score statistic generally has desirable size and power properties in moderately sized samples. The score test is applied to the quarterly Australian consumption function. The income and consumption series are found to be I(1) at zero and seasonal frequencies and these two series are not cointegrated at any frequency.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 20 (2001)
Issue (Month): 1 ()
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Web page: http://www.tandfonline.com/LECR20
Other versions of this item:
- Param Silvapulle, 1995. "A Score Test for Seasonal Fractional Integration and Cointegration," Econometrics 9506005, EconWPA, revised 16 Jun 1995.
- Silvapulle, P., 1995. "A Score Test for Seasonal Fractional Integration and Cointegration," Working Papers 95-08, University of Iowa, Department of Economics.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
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