Testing fractional order of long memory processes: A monte carlo study

Laurent Ferrara; Dominique Guegan; Zhiping Lu

doi:10.1080/03610911003646381

Testing fractional order of long memory processes: A monte carlo study

Laurent Ferrara
, Dominique Guegan
, Zhiping Lu^*

^*Corresponding author for this work

School of Statistics

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	795-806
Number of pages	12
Journal	Communications in Statistics Part B: Simulation and Computation
Volume	39
Issue number	4
DOIs	https://doi.org/10.1080/03610911003646381
State	Published - Apr 2010

Keywords

Long memory processes
Monte Carlo simulations
Test

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10.1080/03610911003646381

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title = "Testing fractional order of long memory processes: A monte carlo study",

abstract = "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.",

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AB - 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.

KW - Long memory processes

KW - Monte Carlo simulations

KW - Test

UR - https://www.scopus.com/pages/publications/77951049385

U2 - 10.1080/03610911003646381

DO - 10.1080/03610911003646381

M3 - 文章

AN - SCOPUS:77951049385

SN - 0361-0918

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JO - Communications in Statistics Part B: Simulation and Computation

JF - Communications in Statistics Part B: Simulation and Computation

IS - 4

ER -

Testing fractional order of long memory processes: A monte carlo study

Abstract

Keywords

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