TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN

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

Econometric Theory, 2009, vol. 25, issue 06, pages 1793-1828

Abstract: We propose a family of least-squares 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, ]. 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.

Date: 2009

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466609990338 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:25:y:2009:i:06:p:1793-1828_99

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 ().