Download This PaperTesting the Null Hypothesis of Stationarity in Fractionally Integrated Models
28 Pages Posted: 5 Jan 2011
Date Written: December 1999
Abstract
In this paper, we show how to estimate consistently the degree of fractional integration at a given frequency θ, for both stationary and non stationary long-memory process. The statistics used are the periodogram for values θn which converge to θ with an appropriate rate. We also introduce tests of the hypothesis of stationarity for such processes.
Keywords: Fractional integration, Long memory parameter, Spectral density, Moving average unit root, Non parametric tests
JEL Classification: C22
Suggested Citation: Suggested Citation
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