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Testing fractional order of long memory processes : a Monte Carlo study

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Author Info
Laurent Ferrara () (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I, DGEI-DAMEP - Banque de France)
Dominique Guegan () (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I, 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 Panthéon-Sorbonne - Paris I, ECNU - East China Normal University)

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Abstract

Testing the fractionally integrated order of seasonal and non-seasonal unit roots is quite important for the economic and financial time series modelling. In this paper, Robinson test (1994) 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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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00259193_v1.

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Date of creation: Feb 2008
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Handle: RePEc:hal:cesptp:halshs-00259193_v1

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Related research
Keywords: Long memory processes; test; Monte Carlo simulations.;

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  1. Ferrara, L. & Guégan, D., 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Documents de Travail 224, Banque de France. [Downloadable!]
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