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Testing the Null Hypothesis of Stationarity in Fractionally Integrated Models

SSRN Electronic Journal
1999
  • 31
    Citations
  • 542
    Usage
  • 0
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    31
    • Citation Indexes
      31
  • Usage
    542
    • Abstract Views
      496
    • Downloads
      46

Article Description

In this paper, we show how to estimate consistently the degree of fractional integration at a given frequency θ, for both stationary and non stationary long-memory process. The statistics used are the periodogram for values θn which converge to θ with an appropriate rate. We also introduce tests of the hypothesis of stationarity for such processes.

Bibliographic Details

Renaud Lacroix

Elsevier BV

Fractional integration; Long memory parameter; Spectral density; Moving average unit root; Non parametric tests

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