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Fractional Integration in the Context of Periodicity: A Monte Carlo Experiment and an Empirical Study

  • Gil-Alana Luis A. (Universidad de NavarraCampus Universitario Facultad de Ciencias Economicas Edificio Biblioteca)
  • Published : 2006.12.31

Abstract

Recent results in applied statistics have shown that the presence of periodicities in time series may influence the estimation and testing of the fractional differencing parameter. In this article, we provide further evidence on the issue by using several procedures of fractional integration. The results show that in the presence of periodicities, the order of integration can be erroneously detected. An empirical application in the context of seasonal data is also carried out at the end of the article.

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