Multivariate Tests of Fractionally Integrated Hypotheses

Luis Gil-Alana

No 09/02, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: Multivariate tests of fractionally integrated hypotheses are proposed in this article. They are a natural generalization of the univariate tests of Robinson (1994) for testing unit roots and other nonstationary hypotheses. The functional forms of the tests, based on the score principle are calculated in both, the time and the frequency domain. Some simulations based on Monte Carlo experiments and a small empirical application are also carried out at the end of the article.

JEL-codes: C22 G14 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2002-12-09
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Citations: View citations in EconPapers (1)

Published, South African Statistical Journal, 2003, vol. 37(1): pp. 1-28

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Related works:
Working Paper: Multivariate Tests of Fractionally Integrated Hypotheses (1998)
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