Testing the order of fractional integration in the presence of smooth trends, with an application to UK Great Ratios

Mustafa R. K{\i}l{\i}n\c{c}, Michael Massmann and Maximilian Ambros

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Abstract: This note proposes semi-parametric tests for investigating whether a stochastic process is fractionally integrated of order $\delta$, where $|\delta|

Date: 2024-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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