A test of the null of integer integration against the alternative of fractional integration

DOI10.1016/j.jeconom.2015.02.023zbMath1337.62251MaRDI QIDQ494391

Yong-Cai Geng, Sumit K. Garg

Publication date: 1 September 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.023

zbMATH Keywords

unit root; fractionally integrated process; short memory

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M07: Non-Markovian processes: hypothesis testing