Testing fractional order of long memory processes : a Monte Carlo study
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.
|Date of creation:||Feb 2008|
|Publication status:||Published in Documents de travail du Centre d'Economie de la Sorbonne 2008.12 - ISSN : 1955-611X. 2008|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00259193|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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