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

Laurent Ferrara, Dominique Guegan () and Zhiping Lu ()
Additional contact information
Dominique Guegan: Centre d'Economie de la Sorbonne et Paris School of Economics, https://cv.archives-ouvertes.fr/dominique-guegan
Zhiping Lu: Centre d'Economie de la Sorbonne et East China Normal University, https://centredeconomiesorbonne.univ-paris1.fr

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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: Long memory processes; test; Monte Carlo simulations (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2008-02
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
ftp://mse.univ-paris1.fr/pub/mse/CES2008/B08012.pdf (application/pdf)

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:mse:cesdoc:b08012

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