Abstract
Abstract. The performance of the Geweke‐Porter‐Hudak (GPH) test, the modified rescaled range (MRR) test and two Lagrange multiplier (LM) type tests for fractional integration in small samples is examined using Monte Carlo methods. Both the GPH and MRR tests are found to be robust to moderate autoregressive moving‐average components, autoregressive conditional heteroskedasticity effects and shifts in the variance. However, these two tests are sensitive to large autoregressive moving‐average components and shifts in the mean. It is also found that the LM tests are sensitive to deviations from the null hypothesis. As an illustration, the GPH test is applied to two economic data series. Copyright © 1993, Wiley Blackwell. All rights reserved
| Original language | English |
|---|---|
| Pages (from-to) | 331-345 |
| Journal | Journal of Time Series Analysis |
| Volume | 14 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - Jul 1993 |
| Externally published | Yes |
Research Keywords
- ARCH
- ARMA
- Monte Carlo experiment
- shifts in parameters
- Tests for fractional integration
Policy Impact
- Cited in Policy Documents
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