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.

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Year of publication:	2008-02
Authors:	Ferrara, Laurent ; Guegan, Dominique ; Lu, Zhiping
Institutions:	HAL
Subject:	Long memory processes \| test \| Monte Carlo simulations

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00259193
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010750934