Multivariate Tests of Fractionally Integrated Hypotheses
AbstractMultivariate tests of fractionally integrated hypotheses are proposed in this article. They are a natural generalization of the univariate tests of Robinson (1994) for testing unit roots and other nonstationary hypotheses. The functional forms of the tests, based on the score principle are calculated in both, the time and the frequency domain. Some simulations based on Monte Carlo experiments and a small empirical application are also carried out at the end of the article.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 09/02.
Length: 38 pages pages
Date of creation: Dec 2002
Date of revision:
Publication status: Published, South African Statistical Journal, 2003, vol. 37(1): pp. 1-28
Contact details of provider:
Web page: http://www.unav.es/facultad/econom
Other versions of this item:
- Gil-Alana, L., 1998. "Multivariate Tests of Fractionally Integrated Hypotheses," Economics Working Papers eco98/19, European University Institute.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-87, December.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Robinson, Peter M. & Yajima, Yoshihiro, 2002.
"Determination of cointegrating rank in fractional systems,"
Journal of Econometrics,
Elsevier, vol. 106(2), pages 217-241, February.
- Peter M Robinson & Yoshihiro Yajima, 2001. "Determination of Cointegrating Rank in Fractional Systems," STICERD - Econometrics Paper Series /2001/423, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Luis A. Gil-Alana, 2003.
"Testing of Fractional Cointegration in Macroeconomic Time Series,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 65(4), pages 517-529, 09.
- Luis A. Gil-Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Faculty Working Papers 09/03, School of Economics and Business Administration, University of Navarra.
- Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
- Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
- Lobato, Ignacio N., 1999. "A semiparametric two-step estimator in a multivariate long memory model," Journal of Econometrics, Elsevier, vol. 90(1), pages 129-153, May.
- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
- Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-92, December.
- Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
- Luis Alberiko Gil-Alana & Antonio Moreno, .
"Technology Shocks and Hours Worked: A Fractional Integration Perspective,"
Faculty Working Papers
03/06, School of Economics and Business Administration, University of Navarra.
- Gil-Alana, Luis Alberiko & Moreno, Antonio, 2009. "Technology Shocks And Hours Worked: A Fractional Integration Perspective," Macroeconomic Dynamics, Cambridge University Press, vol. 13(05), pages 580-604, November.
- Gil-Alaña, Luis A., 2000. "Testing of fractional cointegration in macroeconomic time series," SFB 373 Discussion Papers 2000,105, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.