Testing Fractional Order of Long Memory Processes: A Monte Carlo Study |
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| Authors: | Laurent Ferrara Dominique Guegan |
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| Institution: | 1. Banque de France, DGEI-DAMEP and CES Université Paris 1 Panthéon-Sorbonne , Paris, France;2. Paris School of Economics, CES-MSE, Université Paris 1 Panthéon-Sorbonne , Paris, France |
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| Abstract: | Testing the fractionally integrated order of seasonal and nonseasonal unit roots is quite important for the economic and financial time series modeling. In this article, the widely used Robinson's (1994
Robinson , P. M. ( 1994 ). Efficient tests of nonstationary hypotheses . J. Am. Stat. Assoc. 89 ( 428 ): 1420 – 1437 .Taylor & Francis Online], Web of Science ®] , Google Scholar]) test 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. |
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| Keywords: | Long memory processes Monte Carlo simulations Test |
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