Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
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.
|Date of creation:||Apr 2010|
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|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00486655|
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