On Semiparametric Testing of I(d) by FEXP Models |
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Authors: | Masaki Narukawa |
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Affiliation: | 1. Faculty of Economics , Okayama University , Okayama , Japan narukawa@okayama-u.ac.jp |
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Abstract: | To statistically test the assumption that a scalar-valued process is I(d), this article proposes a test statistic based on a broadband semiparametric method by use of fractional exponential (FEXP) models. The test is semiparametric in terms of flexibility in modeling spectral density. We establish the asymptotic behavior and report finite-sample performance by a Monte Carlo study. |
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Keywords: | Fractional exponential models I(d) processes Semiparametric testing |
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