Evaluation of robinson's (1994) Tests in finite samples

DOI10.1080/00949650008812055MaRDI QIDQ4525906zbMATHOpenAlexFDO

Authors Luis A. Gil-Alana

Publication date 17 September 2001

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650008812055

zbMATH Keywords

tablesunit rootsfractional integrationMonte-Carlo simulations

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• On finite sample properties of the tests of robinson (1994) for fractional integration
• The Tests of Robinson in the Context of AR(1) Disturbances
• The finite-sample performance of robust unit root tests
• The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain
• Unit root bootstrap tests under infinite variance

Cites work

• scientific article; zbMATH DE number 3942888 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Efficient Tests of Nonstationary Hypotheses
• Highly Insignificant F-Ratios
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series

Cited in

(13)

• LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES
• Deterministic seasonality versus seasonal fractional integration
• The power of the tests of robinson (1994) in the context of fractionall[y integrated moving average models
• A joint test of fractional cyclic integration and a linear time trend
• The Tests of Robinson in the Context of AR(1) Disturbances
• A critical assessment of simulated critical values
• Infant mortality rates: time trends and fractional integration
• Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
• A fractional integration analysis of the population in some OECD countries
• Testing unit roots and long range dependence of foreign exchange
• The finite-sample performance of robust unit root tests
• Finite sample performance of frequency- and time-domain tests for seasonal fractional integration
• On finite sample properties of the tests of robinson (1994) for fractional integration

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