Testing Fractional Order of Long Memory Processes: A Monte Carlo Study

Journal article: 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) 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.

Author(s)

Laurent Ferrara, Dominique Guegan, Zhiping Lu

Journal
  • Communications in Statistics – Simulation and Computation
Date of publication
  • 2010
Keywords JEL
C12 C15 C22
Keywords
  • Long memory processes
  • Test
  • Monte Carlo simulations
Pages
  • 795-806
Version
  • 1
Volume
  • 39