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

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.

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Year of publication:	2009
Authors:	Rodrigues, Paulo M.M. ; Rubia, Antonio ; Azevedo, João Valle e
Institutions:	Banco de Portugal

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

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