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

Laurent Ferrara (), Dominique Guegan () and Zhiping Lu ()
Additional contact information
Laurent Ferrara: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, DGEI-DAMEP - Banque de France
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]

Post-Print 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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Published in 2008

Downloads: (external link)
https://shs.hal.science/halshs-00259193v1/document (application/pdf)

Related works:
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:hal:journl:halshs-00259193

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().