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

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Abstract

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

Suggested Citation

  • Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes: a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne b08012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    • Handle: RePEc:mse:cesdoc:b08012
    DOI: 10.1080/03610911003646381
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    Cited by:

    1. Dominique Guegan & Zhiping Lu, 2010. "Testing unit roots and long range dependence of foreign exchange," Post-Print halshs-00505117, HAL.
    2. Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Post-Print halshs-00283710, HAL.
    3. repec:ebl:ecbull:v:3:y:2008:i:29:p:1-10 is not listed on IDEAS
    4. Laurent Ferrara & Dominique Guégan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Economics Bulletin, AccessEcon, vol. 3(29), pages 1-10.
    5. Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Post-Print halshs-00277379, HAL.

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    Keywords

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    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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