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Title:The power of the tests of Robinson (1994) in the context of fractionally integrated moving average models PDF Logo
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

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