This paper develops a time domaine score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models.

It is well known that, under some conditions, tests are asymptotically equivalent, and are optimal in the sense that the local power of these tests are equal to the maximum that can be achieved. However, in most practical situations, the density function f is unknown.

This paper develops a time domaine score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models.