The power of the tests of Robinson (1994) in the context of fractionally integrated moving average models

We examine in this article the power of the tests of Robinson (1994) for testing I(d) statistical models in the presence of moving average (MA) disturbances. The results show that the tests behave relatively well if we correctly assume that the disturbances are MA. However, assuming white noise or autoregressive disturbances, the power of the tests against one-sided alternatives is very low.

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Year of publication:	2001
Authors:	Gil-Alaña, Luis A.
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	Monte Carlo simulations \| Fractional integration

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Series:	SFB 373 Discussion Paper ; 2001,66
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	72569470X [GVK] hdl:10419/62731 [Handle] RePEc:zbw:sfb373:200166 [RePEc]
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	EconStor

Persistent link: https://www.econbiz.de/10010310383