Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62731
Authors: 
Gil-Alaña, Luis A.
Year of Publication: 
2001
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,66
Abstract: 
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.
Subjects: 
Monte Carlo simulations
Fractional integration
JEL: 
C12
C15
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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