Testing fractional order of long memory processes: a Monte Carlo study

Laurent Ferrara, Dominique Guegan () and Zhiping Lu ()
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Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Zhiping Lu: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, ECNU - East China Normal University [Shangaï]

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: Testing the fractionally integrated order of seasonal and non-seasonal unit roots is quite important for the economic and financial time series modelling. In this paper, Robinson test (1994) is applied to various well-known long memory models. Via Monte Carlo experiments, we study and compare the performances of this test using several sample sizes.

Keywords: Monte Carlo simulations; Long memory processes; test; Monte Carlo simulations.; Processus de longue mémoire; simulation de Monte Carlo. (search for similar items in EconPapers)
Date: 2008-02
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00259193v1
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Citations: View citations in EconPapers (7)

Published in 2008

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Related works:
Working Paper: Testing Fractional Order of Long Memory Processes: A Monte Carlo Study (2010)
Working Paper: Testing Fractional Order of Long Memory Processes: A Monte Carlo Study (2010)
Working Paper: Testing Fractional Order of Long Memory Processes: A Monte Carlo Study (2010)
Working Paper: Testing fractional order of long memory processes: a Monte Carlo study (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00259193

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