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Testing Fractional Order of Long Memory Processes: A Monte Carlo Study

Author

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  • Laurent Ferrara

    () (DGEI-DAMEP - Banque de France)

  • Dominique Guegan

    () (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics)

  • Zhiping Lu

    () (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, ECNU - ECNU - East China Normal University [Shangaï])

Abstract

Testing the fractionally integrated order of seasonal and nonseasonal unit roots is quite important for the economic and financial time series modeling. In this article, the widely used Robinson's (1994) test is applied to various well-known long memory models. Via Monte Carlo experiments, we study and compare the performances of this test using several sample sizes.

Suggested Citation

  • Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010. "Testing Fractional Order of Long Memory Processes: A Monte Carlo Study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00486655, HAL.
  • Handle: RePEc:hal:cesptp:hal-00486655 DOI: 10.1080/03610911003646381 Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00486655
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Laurent Ferrara & Dominique Guégan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Economics Bulletin, AccessEcon, pages 1-10.
    2. repec:ebl:ecbull:v:3:y:2008:i:29:p:1-10 is not listed on IDEAS
    3. repec:hal:journl:halshs-00277379 is not listed on IDEAS

    More about this item

    Keywords

    Monte Carlo simulations; Long memory processes; test; Processus de longue mémoire; simulation de Monte Carlo;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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