- Volume 11 Issue 2
In this article we show that the tests of Robinson (1994) may have serious problems in distinguishing between fractionally integrated processes in the context of deterministic trends. The results are obtained via Monte Carlo experiments. A simple procedure, based on the t-values of the coefficients from the differenced regression, is presented to correctly specify the time series of interest and, an empirical application, using data of the US GNP is also carried out at the end of the article.
Misspecification;Fractional integration;Deterministic trends
- Review of Economic Studies v.53 pp.369-384 On the theory of testing for unit roots in observed time series Bhargava, A.
- Journal of the American Statistical Association v.74 pp.427-431 Distribution of the estimators for autoregressive time series with a unit root Dickey, D.A.;Fuller, W.A. https://doi.org/10.2307/2286348
- Economic Modelling v.16 pp.613-629 Fractional integration with monthly data Gil-Alana, L.A. https://doi.org/10.1016/S0264-9993(99)00017-6
- Journal of Time Series Analysis v.22 pp.411-430 Testing stochastic cycles in macroeconomic time series Gil-Alana, L.A. https://doi.org/10.1111/1467-9892.00233
- Journal of Econometrics v.80 pp.241-268 Testing of unit roots and other nonstationary hypotheses in macroeconomic time series Gil-Alana, L.A.;Robinson, P.M. https://doi.org/10.1016/S0304-4076(97)00038-9
- Journal of Applied Econometrics v.16 pp.95-114 Testing of seasonal fractional integration in UK and Japanese consumption and income Gil-Alana, L.A.;Robinson, P.M. https://doi.org/10.1002/jae.597
- Econometrica v.55 pp.277-301 Time series regression with a unit root Phillips, P.C.B. https://doi.org/10.2307/1913237
- Biometrika v.75 pp.335-346 Testing for a unit root in time series regression Phillips, P.C.B.;P. Perron https://doi.org/10.1093/biomet/75.2.335
- The art of scientific computing Numerical recipes Press, W.H.;Flannery, B.P.;Teukolsky, S.A.;Wetterling, W.T.
- Journal of Monetary Economics v.29 pp.277-302 Modelling long run behaviour with the fractional ARIMA model Sowell, F. https://doi.org/10.1016/0304-3932(92)90016-U
- Journal of the American Statistical Association v.89 pp.1420-1437 Efficient tests of nonstationary hypotheses Robinson, P.M. https://doi.org/10.2307/2291004
- Econometrica v.51 pp.153-174 Testing residuals from least square regression being generated by the Gaussian random walk Sargan,J.D.;A.Bhargava https://doi.org/10.2307/1912252
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