Ferrara, Laurent; Guegan, Dominique; Lu, Zhiping - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
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...