A Score Test for Seasonal Fractional Integration and Cointegration
AbstractThis paper develops a time domain score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models. Further, it introduces the notion of fractional cointegration at different frequencies between two seasonally integrated, I(1) series. In testing problem involving seasonal fractional cointegration, it is argued that the alternative hypothesis is one-sided for which the usual score test may not be appropriate. Therefore, based on the ideas in Silvapulle and Silvapulle (1995), a one-sided score statistics is constructed. A simulation study finds that the score statistic generally has desirable size and power properties in finite samples. The score statistics are applied to the quarterly Australian consumption function. The income and consumption series are found to be I(1) at zero and seasonal frequencies and these two series are not fractionally cointegrated at any frequency.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 9506005.
Date of creation: 15 Jun 1995
Date of revision: 16 Jun 1995
Note: Zipped using PKZIP v2.04, encoded using UUENCODE v5.15. Zipped file includes 1 file -- score (body in WP5.1 format 22 pgs.)
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Other versions of this item:
- Paramsothy Silvapulle, 2001. "A Score Test For Seasonal Fractional Integration And Cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 85-104.
- Silvapulle, P., 1995. "A Score Test for Seasonal Fractional Integration and Cointegration," Working Papers 95-08, University of Iowa, Department of Economics.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
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