Tests for Integration and Fractional Integration
Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration
... LM tests for fractional integration, this paper analyses the …nite-sample properties of the frequency- and time-domain tests in the seasonal (quarterly) case, extending for the former the ...
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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
... bootstrap tests to investigate the price dynamics in four commodity spot and futures markets: gold, silver, platinum and crude ...when fractional integration together with conditional and/or ...
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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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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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Testing for a change in mean under fractional integration
... As the limiting null distribution of S W δ depends on δ, the critical values for the test also depend on δ. Moreover, the critical values also depend on Λ , as does the test statistic S W δ . Both these observations are ...
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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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Cointegration in fractional systems with unknown integration orders
... that integration orders of observed series and cointegrating errors are correctly specified integers, though it is standard practice to test these integra- tion orders, particularly by unit root tests ...
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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
... of integration of the seasonal component and the need of seasonal ...Both tests have standard null and local limit ...the tests are computed, and experiments based on Monte Carlo show that the sizes ...
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Fractional integration and cointegration in stock prices and exchange rates
... This is confirmed by the Table 3 showing the results of the statistic r of the Robinson (1994)’s tests applied to each individual series. Different values of d are considered, thus testing for a unit root (d = 1) ...
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Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income
... the same limit distributions are obtained when it is not known a priori that some of the π’s are zero: if the π’s other than the one to be tested are truly nonzero, then the process does not have unit roots at these ...
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TESTING OF SEASONAL FRACTIONAL INTEGRATION IN UK AND JAPANESE CONSUMPTION AND INCOME *
... the same limit distributions are obtained when it is not known a priori that some of the π’s are zero: if the π’s other than the one to be tested are truly nonzero, then the process does not have unit roots at these ...
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Fractional Integration and Cointegration in US Financial Time Series Data
... of integration for the remaining two series (earnings and real ...LR tests and other residuals-based tests suggest that the d-differenced series may all be weakly (non- seasonally) autocorrelated, ...
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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.
... the same limit distributions are obtained when it is not known a priori that some of the π’s are zero: if the π’s other than the one to be tested are truly nonzero, then the process does not have unit roots at these ...
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Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
... Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models, May 2007 1985 Luis Otávio Façanha and Marcelo Resende, Hierarchical Structure in Brazilian Industrial Firms: An Econometric Study, ...
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Fractional integration between energy use and GDP: An application to Switzerland
... causality tests and introducing physical capital and labour as additional variables, Wolde-Rufael & Menya (2010) surprisingly find a negative effect of nuclear energy consumption on real ...
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Modeling Multivariate Time Series with Fractional Integration in Macroeconomics and Finance
... The results of these diagnostic tests, more precisely the number of rejections across series for different significance levels, is given in Table 5.3. Transformations of the real- ized covariance matrices which ...
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Fractional integration and cointegration in US financial time series data
... of integration for the remaining two series (earnings and real ...LR tests and other residuals-based tests suggest that the d-differenced series may all be weakly (non- seasonally) autocorrelated, ...
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Reassessing the Integration of European Electricity Markets: A Fractional Cointegration Analysis
... market integration in Europe, by developing and testing hypotheses on the convergence of electricity wholesale prices, and adopting a time-varying fractional cointegration ...root tests, which are ...
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