Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Fractional Integration in the Context of Deterministic Trends

  • Gil-Alana, L.A. (University of Navarre, Faculty of Economics)
  • Published : 2004.08.01
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Abstract

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.

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