TY - JOUR
T1 - Finite sample performance of frequency and time domain tests for seasonal fractional integration
AU - Rodrigues, Paulo
AU - Rubia, Antonio
AU - Valle e Azevedo, João
N1 - Funding: POCTI/FEDER (grant nr. PTDC/ECO/64595/2006)
PY - 2013/7
Y1 - 2013/7
N2 - Testing the order of integration of economic and financial time series has become a conventional procedure prior to any modelling exercise. In this paper, we investigate and compare the finite sample properties of the frequency-domain tests proposed by Robinson [Efficient tests of nonstationary hypotheses, J. Amer. Statist. Assoc. 89(428) (1994), pp. 1420-1437] and the time-domain procedure proposed by Hassler, Rodrigues, and Rubia [Testing for general fractional integration in the time domain, Econometric Theory 25 (2009), pp. 1793-1828] when applied to seasonal data. The results presented are of empirical relevance as they provide some guidance regarding the finite sample properties of these tests.
AB - Testing the order of integration of economic and financial time series has become a conventional procedure prior to any modelling exercise. In this paper, we investigate and compare the finite sample properties of the frequency-domain tests proposed by Robinson [Efficient tests of nonstationary hypotheses, J. Amer. Statist. Assoc. 89(428) (1994), pp. 1420-1437] and the time-domain procedure proposed by Hassler, Rodrigues, and Rubia [Testing for general fractional integration in the time domain, Econometric Theory 25 (2009), pp. 1793-1828] when applied to seasonal data. The results presented are of empirical relevance as they provide some guidance regarding the finite sample properties of these tests.
KW - non-stationarity
KW - LM tests
UR - https://www.scopus.com/record/display.uri?eid=2-s2.0-84880312589&origin=resultslist&sort=plf-f&src
U2 - 10.1080/00949655.2012.660489
DO - 10.1080/00949655.2012.660489
M3 - Article
SN - 0094-9655
VL - 83
SP - 1373
EP - 1384
JO - Journal of Statistical Computation and Simulation
JF - Journal of Statistical Computation and Simulation
IS - 7
ER -