Evaluation of robinson's (1994) Tests in finite samples

DOI10.1080/00949650008812055zbMath0968.62022OpenAlexW2082903535MaRDI QIDQ4525906

Luis A. Gil-Alana

Publication date: 17 September 2001

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650008812055

zbMATH Keywords

tablesfractional integrationunit rootsMonte-Carlo simulations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (9)

A joint test of fractional cyclic integration and a linear time trend ⋮ Deterministic seasonality versus seasonal fractional integration ⋮ Infant mortality rates: time trends and fractional integration ⋮ LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES ⋮ Testing Fractional Order of Long Memory Processes: A Monte Carlo Study ⋮ A fractional integration analysis of the population in some OECD countries ⋮ The power of the tests of robinson (1994) in the context of fractionall[y integrated moving average models ⋮ Finite sample performance of frequency- and time-domain tests for seasonal fractional integration ⋮ Testing unit roots and long range dependence of foreign exchange

Cites Work

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• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Efficient Tests of Nonstationary Hypotheses
• Highly Insignificant F-Ratios

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