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

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Author Info
Laurent Ferrara () (Centre d'Economie de la Sorbonne et DGEI-DAMEP, Banque de France)
Dominique Guegan () (Centre d'Economie de la Sorbonne et Paris School of Economics)
Zhiping Lu () (Centre d'Economie de la Sorbonne et 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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Publisher Info
Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number b08012.

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Length: 15 pages
Date of creation: Feb 2008
Date of revision:
Handle: RePEc:mse:cesdoc:b08012

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Web page: http://ces.univ-paris1.fr/
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Related research
Keywords: Long memory processes; test; Monte Carlo simulations.;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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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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This page was last updated on 2009-11-23.

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