Finite sample performance of frequency and time domain tests for seasonal fractional integration

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Abstract

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.
Original languageEnglish
Pages (from-to)1373-1384
JournalJournal of Statistical Computation and Simulation
Volume83
Issue number7
DOIs
Publication statusPublished - Jul 2013

Keywords

  • non-stationarity
  • LM tests

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