A joint test of fractional cyclic integration and a linear time trend

Luis Gil-Alana

No 2001,26, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: We propose in this article a joint test for testing simultaneously a deterministic trend component and the degree of integration of the cyclical component in a given time series. The test is directly derived from Robinson's (1994) procedure, which is based on the Lagrange Multiplier (LM) principle. Thus, it has standard null and local asymptotic distributions. However, finite-sample critical values of the tests are evaluated and, an empirical application using historical annual data, is also carried out at the end of the article.

Keywords: Long memory; Fractional cycles; Deterministic trends (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200126

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