Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
نویسندگان
چکیده
منابع مشابه
Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
Testing the fractionally integrated order of seasonal and non-seasonal unit roots is quite important for the economic and financial time series modelling. In this paper, Robinson test (1994) 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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ژورنال
عنوان ژورنال: Communications in Statistics - Simulation and Computation
سال: 2010
ISSN: 0361-0918,1532-4141
DOI: 10.1080/03610911003646381