Testing for general fractional integration in the time domain

Uwe Hassler, Paulo M. M. Rodrigues, Antonio Rubia

Research output: Contribution to journalArticle

20 Citations (Scopus)

Abstract

We propose a family of least-squares-based testing procedures that look to detect general forms of fractional integration at the long-run and/or the cyclical component of a time series, and that are asymptotically equivalent to Lagrange multiplier tests. Our setting extends Robinson's (1994) results to allow for short memory in a regression framework and generalizes the procedures in Agiakloglou and Newbold (1994), Tanaka (1999), and Breitung and Hassler (2002) by allowing for single or Multiple fractional unit roots at any frequency in [0, pi]. Our testing procedure can be easily implemented in practical settings and is flexible enough to account for a broad family of long- and short-memory specifications, including ARMA and/or GARCH-type dynamics, among others. Furthermore, these tests have power against different types of alternative hypotheses and enable inference to be conducted under critical values drawn from a standard chi-square distribution, irrespective of the long-memory parameters.

Original languageEnglish
Pages (from-to)1793-1828
Number of pages36
JournalEconometric Theory
Volume25
Issue number6
DOIs
Publication statusPublished - Dec 2009

Keywords

  • LONG MEMORY PROCESS
  • CONDITIONAL HETEROSKEDASTICITY
  • UNKNOWN POLE
  • UNIT ROOTS
  • COINTEGRATION
  • INFERENCE
  • MODELS
  • CYCLES

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