A Score Test for Seasonal Fraction Integration and Cointegration

Param Silvapulle
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Param Silvapulle: School of Economics, La Trobe University

No 1996.01, Working Papers from School of Economics, La Trobe University

Abstract: This paper develops a time domaine score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models.

Keywords: Statistics; Tests; Time Series (search for similar items in EconPapers)
Pages: 22 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:trb:wpaper:1996.01

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