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

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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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File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2008/B08012.pdf
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Bibliographic 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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Keywords: Long memory processes; test; Monte Carlo simulations.;

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Cited by:
  1. repec:hal:journl:halshs-00283710 is not listed on IDEAS
  2. Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00283710, HAL.
  3. repec:ebl:ecbull:v:3:y:2008:i:29:p:1-10 is not listed on IDEAS
  4. repec:hal:journl:halshs-00277379 is not listed on IDEAS

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