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Testing fractional order of long memory processes : a Monte Carlo study

  • Laurent Ferrara

    ()

    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, DGEI-DAMEP - Banque de France)

  • Dominique Guegan

    ()

    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)

  • Zhiping Lu

    ()

    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, ECNU - East China Normal University [Shangaï])

Testing the fractionally integrated order of seasonal and non-seasonal unit roots is quite important for the economic and financial time series modelling. In this paper, Robinson test (1994) 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.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00259193.

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Date of creation: Feb 2008
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Handle: RePEc:hal:cesptp:halshs-00259193
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00259193
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