Fractional Integration and Cointegration Testing Using the Sample Mean
Title: Fractional Integration and Cointegration Testing Using the Sample Mean
Author: DEMETRESCU, Matei
Publisher: European University Institute
Series/Number: EUI MWP; 2008/06
The convergence rate of the sample mean of fractionally integrated processes is exploited to build test statistics for the fractional integration parameter d of univariate series, as well as for the rank of fractional cointegration of multivariate series with known or unknown order of fractional integration. Recursive adjustment is employed when dealing with deterministic components. The suggested test statistics are easy to compute and possess standard limiting distributions.
Subject: Long memory testing; invariance principle; fractional Brownian motion
Type of Access: openAccess