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 - ECNU - East China Normal University [Shangaï]

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Abstract: Testing the fractionally integrated order of seasonal and nonseasonal unit roots is quite important for the economic and financial time series modeling. In this article, the widely used Robinson's (1994) test 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: Long memory processes; test; Monte Carlo simulations; Processus de longue mémoire; simulation de Monte Carlo (search for similar items in EconPapers)
Date: 2010-04
Note: View the original document on HAL open archive server: https://hal.science/hal-00486655v1
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Citations: View citations in EconPapers (1)

Published in Communications in Statistics - Simulation and Computation, 2010, 39 (9), pp.795-806. ⟨10.1080/03610911003646381⟩

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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 (2008)
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:journl:hal-00486655

DOI: 10.1080/03610911003646381

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