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Testing the Null Hypothesis of Stationarity in Fractionally Integrated Models

Author

Listed:
  • Lacroix, R.

Abstract

In this paper, we show how to estimate consistently the degree of fractional integration at a given frequency K, for both stationary and non stationary long-memory process. The statistics used are the periodigram for values Kn which converge to K with an appropriate rate. We also introduce tests of the hypothesis of stationarity for such processes.

Suggested Citation

  • Lacroix, R., 1999. "Testing the Null Hypothesis of Stationarity in Fractionally Integrated Models," Working papers 72, Banque de France.
    • Handle: RePEc:bfr:banfra:72
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    File URL: https://publications.banque-france.fr/sites/default/files/medias/documents/working-paper_72_1999.pdf
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    More about this item

    Keywords

    Fractional integration ; Long memory parameter ; Spectral density ; Moving average unit root ; Non parametric tests.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

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