Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/92946
Authors: 
Christensen, Bent Jesper
Kruse, Robinson
Sibbertsen, Philipp
Year of Publication: 
2013
Series/Report no.: 
Discussion Paper, Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 519
Abstract: 
We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order of integration of the error term is unknown. We show that the approach suggested by Vogelsang (1998a) for the case of integer integration does not apply to the case of fractional integration. We propose a Lagrange Multiplier-type test whose limiting distribution is independent of the order of integration of the errors. Different testing scenarios for the case of deterministic and stochastic regressors are considered. Simulations demonstrate that the proposed test works well for a variety of different cases, thereby emphasizing its generality.
Subjects: 
Long memory
linear time series regression
Lagrange Multiplier test
JEL: 
C12
C22
Document Type: 
Working Paper

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