ROBINSON (1995B) FRACTIONAL INTEGRATION TESTS
Simple Wald tests of the fractional integration parameter : an overview of new results
... root tests in the past, our second contribution is to inves- tigate how to implement Wald tests when some deterministic components are considered in the DGP, a case which was not treated in LV ...most ...
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Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration
... of integration of economic and …nancial time series has become a conventional procedure prior to any modelling ...domain tests proposed by Robinson (1994) and the time domain procedure proposed by ...
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Fractional Cointegration and Tests of Present Value Models
... univariate tests, and it involves initially testing the order of integration of the individual series, and then testing the degree of integration of the estimated residuals from the cointegrating ...
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
... score-based tests for the long memory ...in Robinson (1991), Demetrescu, Kuzin and Hassler (2008) and Hassler, Rodrigues and Rubia (2009), among ...to tests which are not in general asymptotic- ally ...
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Optimal Fractional Dickey-Fuller Tests for Unit Roots
... a fractional Dickey-Fuller (hereinafter, FDF) test for testing the null of unit root against the alternative of fractional ...by Robinson (1994) and Tanaka (1999) for the Gaussian ...optimal ...
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Testing fractional integration in macroeconomic time series
... testing fractional (and seasonally fractional) integration and cointegration in macroeconomic time ...series. Fractional integration has recently emerged in the literature as an ...
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Deterministic Seasonality versus Seasonal Fractional Integration
... to Robinson (1994) for testing deterministic seasonality versus seasonal fractional ...of integration of the seasonal component and the need of seasonal ...Both tests have standard null and ...
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Fractional integration and cointegration in stock prices and exchange rates
... the Robinson (1994)’s tests applied to each individual ...the Robinson (1994) test statistics, and by "*", the nonrejection values of the null hypothesis H 0 : θ = 0 in the model (3) at the ...
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Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income
... (1994) tests, one cannot expect to draw unambiguous conclusions about the very best way of modelling these ...these tests, the null hypothesized model will permit different deterministic paths; different ...
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TESTING OF SEASONAL FRACTIONAL INTEGRATION IN UK AND JAPANESE CONSUMPTION AND INCOME *
... (1994) tests, one cannot expect to draw unambiguous conclusions about the very best way of modelling these ...these tests, the null hypothesized model will permit different deterministic paths; different ...
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Fractional Integration and Cointegration in US Financial Time Series Data
... univariate tests (see Table 4), it is found that, when applying the Whittle semiparametric method of Robinson (1995a), for m = (T) ...of integration (Table 6) implies equality in the values of d, ...
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Fractional Integration and Cointegration in US Financial Time Series Data
... the case of fractional (or integer) differentiation the time trend disappears in the long run. 2 [Insert Table 1 about here] The first noticeable feature in this table is that all the estimated values of d are ...
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Testing of seasonal fractional integration in UK and Japanese consumption and income.
... (1994) tests, one cannot expect to draw unambiguous conclusions about the very best way of modelling these ...these tests, the null hypothesized model will permit different deterministic paths; different ...
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Estimation of fractional co integration with unknown integration orders
... of fractional co-integration, where both the observable series and the co-integrating error can be fractional processes, nesting the familiar situation where their respective orders are 1 and ...the ...
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A New Procedure to Test for Fractional Integration
... because tests for the presence and/or location of structural breaks often report breaks for simulated fractionally integrated series for which the data generating process is uniform ...
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A model of fractional cointegration, and tests for cointegration using the bootstrap
... The tests are not in general asymptotically pivotal, but implemented by the bootstrap, are shown to be consistent against alternatives with both stationary and nonstationary cointegrating ...the tests are ...
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Testing for a change in mean under fractional integration
... Abstract: We consider testing for the presence of a change in mean, at an unknown point in the sample, in data that are possibly fractionally integrated, and of unknown order. This testing problem has recently been ...
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Cointegration in fractional systems with unknown integration orders.
... 1. INTRODUCTION Cointegration analysis has developed almost exclusively in the context of processes with non- fractional integration orders. Most popularly, observed series are assumed to have a single unit ...
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Stochastic integration with respect to the fractional Brownian motion
... The purpose of our paper is to develop a stochastic calculus with respect to the fractional Brownian motion B with Hurst parameter H > 2 1 using the techniques of the Malliavin calculus. Unlike some previous ...
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Cointegration in fractional systems with unknown integration orders
... in fractional context, without allowance for deterministic ...respective integration orders are 1 and 0 is nested, but these values have typically been assumed ...case Robinson and Marinucci (1997, ...
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