A test of the null of integer integration against the alternative of fractional integration

Cheol-Keun Cho, Christine Amsler and Peter Schmidt

Journal of Econometrics, 2015, vol. 187, issue 1, 217-237

Abstract: This paper proposes a test of the null of integer integration against the alternative of fractional integration. The null of integer integration is satisfied if the series is either I(0) or I(1). We reject the null if the KPSS test rejects I(0) and a unit root test rejects I(1). We suggest a new unit root test (a lower-tail KPSS test applied to the differenced data) to use in this procedure. We provide critical values under standard asymptotics and fixed-b asymptotics. We prove the consistency of this testing procedure against I(d) alternatives with 0Keywords: Fractionally integrated process; Short memory; Unit root (search for similar items in EconPapers)
JEL-codes: C10 C22 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:187:y:2015:i:1:p:217-237

DOI: 10.1016/j.jeconom.2015.02.023

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