Arbeitspapier
The power of the tests of Robinson (1994) in the context of fractionally integrated moving average models
We examine in this article the power of the tests of Robinson (1994) for testing I(d) statistical models in the presence of moving average (MA) disturbances. The results show that the tests behave relatively well if we correctly assume that the disturbances are MA. However, assuming white noise or autoregressive disturbances, the power of the tests against one-sided alternatives is very low.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2001,66
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Statistical Simulation Methods: General
- Thema
-
Monte Carlo simulations
Fractional integration
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gil-Alaña, Luis A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2001
- Handle
- URN
-
urn:nbn:de:kobv:11-10050345
- Letzte Aktualisierung
-
20.09.2024, 08:20 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gil-Alaña, Luis A.
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2001
Ähnliche Objekte (12)
Modelling seasonality with fractionally integrated processes
A fractionally integrated exponential model for UK unemployment
Forecasting the real output using fractionally integrated techniques
Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks
A fractionally integrated model with a mean shift for the US and the UK real oil prices
Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate
Testing of fractional cointegration in macroeconomic time series
Deterministic seasonality versus seasonal fractional integration
A joint test of fractional cyclic integration and a linear time trend
Testing stochastic cycles in macroeconomic time series
A generalized fractional time series model
The Lithium industry and analysis of the beta term structure of oil companies
Modelling seasonality with fractionally integrated processes
A fractionally integrated exponential model for UK unemployment
Forecasting the real output using fractionally integrated techniques
Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks
A fractionally integrated model with a mean shift for the US and the UK real oil prices
Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate
Testing of fractional cointegration in macroeconomic time series
Deterministic seasonality versus seasonal fractional integration
A joint test of fractional cyclic integration and a linear time trend
Testing stochastic cycles in macroeconomic time series
A generalized fractional time series model
The Lithium industry and analysis of the beta term structure of oil companies
Modelling seasonality with fractionally integrated processes
A fractionally integrated exponential model for UK unemployment
Forecasting the real output using fractionally integrated techniques
Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks
A fractionally integrated model with a mean shift for the US and the UK real oil prices
Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate
Testing of fractional cointegration in macroeconomic time series
Deterministic seasonality versus seasonal fractional integration
A joint test of fractional cyclic integration and a linear time trend
Testing stochastic cycles in macroeconomic time series
A generalized fractional time series model