Fractional Integration and Cointegration Testing Using the Sample Mean

Abstract

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.