Testing fractional order of long memory processes : a Monte Carlo study

Abstract : Testing the fractionally integrated order of seasonal and non-seasonal unit roots is quite important for the economic and financial time series modelling. In this paper, Robinson test (1994) is applied to various well-known long memory models. Via Monte Carlo experiments, we study and compare the performances of this test using several sample sizes.
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Submitted on : Wednesday, February 27, 2008 - 10:16:05 AM
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Laurent Ferrara, Dominique Guegan, Zhiping Lu. Testing fractional order of long memory processes : a Monte Carlo study. 2008. ⟨halshs-00259193⟩

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