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.
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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
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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
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