|
EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/62731
|
| | |
| Title: | | The power of the tests of Robinson (1994) in the context of fractionally integrated moving average models  |
| Authors: | | Gil-Alaña, Luis A. |
| Issue Date: | | 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: | | urn:nbn:de:kobv:11-10050345 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/62731
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|