THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION

Jonathan Wright

Econometric Theory, 1999, vol. 15, issue 05, pages 704-709

Abstract: It is possible to construct a test of the null of no fractional integration that has nontrivial asymptotic power against a sequence of alternatives specifying that the series is I(d) with d = O(T 1/2), where T is the sample size. In this paper, I show that tests for fractional integration that are based on the partial sum process of the time series have only trivial asymptotic power (i.e., equal to the size) against this sequence of local alternatives. These tests include the rescaled-range test. In this sense, despite its widespread use in empirical work, the rescaled-range test is a poor test for fractional integration.

Date: 1999
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466699155038 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:15:y:1999:i:05:p:704-709_15

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().