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Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration

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  • João Valle e Azevedo
  • Paulo M.M. Rodrigues
  • Antonio Rubia

Abstract

Testing the order of integration of economic and financial time series has become a conventional procedure prior to any modelling exercise. In this paper, we investigate and compare the finite sample properties of the frequency domain tests proposed by Robinson (1994) and the time domain procedure proposed by Hassler, Rodrigues and Rubia (2008) when applied to seasonal data.

Suggested Citation

  • João Valle e Azevedo & Paulo M.M. Rodrigues & Antonio Rubia, 2009. "Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration," Working Papers w200902, Banco de Portugal, Economics and Research Department.
    • Handle: RePEc:ptu:wpaper:w200902
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    References listed on IDEAS

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    1. Nielsen, Morten Ørregaard, 2004. "Efficient Likelihood Inference In Nonstationary Univariate Models," Econometric Theory, Cambridge University Press, vol. 20(1), pages 116-146, February.
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    3. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
    4. Breitung, Jorg & Hassler, Uwe, 2002. "Inference on the cointegration rank in fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 110(2), pages 167-185, October.
    5. Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(4), pages 549-582, August.
    6. Hassler, Uwe & Rodrigues, Paulo M.M. & Rubia, Antonio, 2009. "Testing For General Fractional Integration In The Time Domain," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1793-1828, December.
    7. Demetrescu, Matei & Kuzin, Vladimir & Hassler, Uwe, 2008. "Long Memory Testing In The Time Domain," Econometric Theory, Cambridge University Press, vol. 24(1), pages 176-215, February.
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