Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/62160 
Year of Publication: 
2000
Series/Report no.: 
SFB 373 Discussion Paper No. 2000,107
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Abstract: 
We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components as stochastic processes, including the unit root models as particular cases. A very general version of the tests of Robinson (1994) is used to test the order of integration of each component. Finite-sample critical values of the tests are evaluated and, an empirical application, is also carried out at the end of the article.
Subjects: 
Long memory
Time series model
Fractional integration
JEL: 
C22
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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