Testing the Null Hypothesis of Stationarity in Fractionally Integrated Models

R. Lacroix

Working papers from Banque de France

Abstract: In this paper, we show how to estimate consistently the degree of fractional integration at a given frequency K, for both stationary and non stationary long-memory process. The statistics used are the periodigram for values Kn which converge to K with an appropriate rate. We also introduce tests of the hypothesis of stationarity for such processes.

Keywords: Fractional integration; Long memory parameter; Spectral density; Moving average unit root; Non parametric tests. (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:72

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