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Testing Fractional Order of Long Memory Processes: A Monte Carlo Study

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Author Info

  • Laurent Ferrara

    ()
    (DGEI-DAMEP - Banque de France)

  • Dominique Guegan

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)

  • Zhiping Lu

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, ECNU - East China Normal University [Shangaï])

Abstract

Testing the fractionally integrated order of seasonal and nonseasonal unit roots is quite important for the economic and financial time series modeling. In this article, the widely used Robinson's (1994) test is applied to various well-known long memory models. Via Monte Carlo experiments, we study and compare the performances of this test using several sample sizes.

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Bibliographic Info

Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number hal-00486655.

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Date of creation: Apr 2010
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Publication status: Published, Communication in Statistics- Simulation and Computation / Communications in Statistics Simulation and Computation, 2010, 39, 9, 795-806
Handle: RePEc:hal:cesptp:hal-00486655

Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00486655
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Related research

Keywords: Long memory processes – test – Monte Carlo simulations;

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Cited by:
  1. Laurent Ferrara & Dominique Guégan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Economics Bulletin, AccessEcon, vol. 3(29), pages 1-10.
  2. repec:hal:journl:halshs-00277379 is not listed on IDEAS
  3. repec:ebl:ecbull:v:3:y:2008:i:29:p:1-10 is not listed on IDEAS
  4. repec:hal:journl:halshs-00283710 is not listed on IDEAS

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