Certain “spurious long memory” processes mimic the behavior of fractional integration in that the variance of their sample mean behaves like that of a fractionally integrated process of some order D. We show, however, experimentally that a fractional integration test may discriminate between...

Certain ”spurious long memory” processes mimic the behavior of fractional integration in that the variance of their sample mean behaves like that of a fractionally integrated process of some order D. We show, however, experimentally that a fractional integration test may discriminate between...

We propose a family of least-squares–based testing procedures that look to detect general forms of fractional integration at the long-run and/or the cyclical component of a time series, and that are asymptotically equivalent to Lagrange multiplier tests. Our setting extends Robinson’s (1994)...

In this paper we derive a quantile regression approach to formally test for long memory in time series. We propose both individual and joint quantile tests which are useful to determine the order of integration along the different percentiles of the conditional distribution and, therefore, allow...

This paper focuses on the analytical discussion of a robust t-test for predictability and on the analysis of its finite-sample properties. Our analysis shows that the procedure proposed exhibits approximately correct size even in fairly small samples. Furthermore, the test is well-behaved under...

Forecast combination methodologies exploit complementary relations between different types of econometric models and often deliver more accurate forecasts than the individual models on which they are based. This paper examines forecasts of seasonally unadjusted monthly industrial production data...