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.

• Type: Journal
• Year: 2010
• Where: CSSC
• Authors: Laurent Ferrara, Dominique Guegan, Zhiping Lu
• Keywords: CSSC 2010, Financial Time Series, Non-seasonal Unit Roots, Well-known Long Memory