A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION

DOI10.1081/ETC-100104081zbMath1018.62074MaRDI QIDQ4406237

Paramsothy Silvapulle

Publication date: 25 June 2003

Published in: Econometric Reviews (Search for Journal in Brave)

zbMATH Keywords

tablesARIMAfractional cointegrationlong-memoryone-sided alternativesseasonal fractional roots

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (1)

A bivariate fractionally cointegrated relationship in the context of cyclical structures

Cites Work

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• Efficient Tests of Nonstationary Hypotheses
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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