EconPapers    
Economics at your fingertips  
 

A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION

Param Silvapulle ()

Econometric Reviews, 2001, vol. 20, issue 1, 85-104

Abstract: This paper develops a time domain score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models. Further, it introduces the notion of fractional cointegration at different frequencies between two seasonally integrated, I(1) series. In testing problems involving seasonal fractional cointegration, it is argued that the alternative hypothesis is one-sided for which the usual score test may not be appropriate. Therefore, based on ideas in Silvapulle and Silvapulle (1995), a one-sided score statistic is constructed. A simulation study finds that the score statistic generally has desirable size and power properties in moderately sized samples. The score test is applied to the quarterly Australian consumption function. The income and consumption series are found to be I(1) at zero and seasonal frequencies and these two series are not cointegrated at any frequency.

Keywords: Seasonal fractional roots; Long-memory; Fractional cointegration; One-sided alternatives; JEL Classification: C12; C22 and C32 (search for similar items in EconPapers)
Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1081/ETC-100104081 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: A Score Test for Seasonal Fractional Integration and Cointegration (1995)
Working Paper: A Score Test for Seasonal Fractional Integration and Cointegration (1995) Downloads
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: https://EconPapers.repec.org/RePEc:taf:emetrv:v:20:y:2001:i:1:p:85-104

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().

 
Page updated 2019-08-23
Handle: RePEc:taf:emetrv:v:20:y:2001:i:1:p:85-104