Testing the Null Hypothesis of Stationarity in Fractionally Integrated Models.

In this paper, we show how to estimate consistently the degree of fractional integration at a given frequency K, for both stationary and non stationary long-memory process. The statistics used are the periodigram for values Kn which converge to K with an appropriate rate. We also introduce tests of the hypothesis of stationarity for such processes.

MoreLess

Year of publication:	1999
Authors:	Lacroix, R.
Institutions:	Banque de France
Subject:	Fractional integration \| Long memory parameter \| Spectral density \| Moving average unit root \| Non parametric tests

More details

Extent:	application/pdf
Series:	Working papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	21 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005036176