A Score Test for Seasonal Fraction Integration and Cointegration
AbstractThis paper develops a time domaine score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models.
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Bibliographic InfoPaper provided by School of Economics, La Trobe University in its series Working Papers with number 1996.01.
Length: 22 pages
Date of creation: 1996
Date of revision:
Statistics; Tests; Time Series;
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