English, Article, Journal or magazine article edition: Testing the Null Hypothesis of Stationarity in Fractionally Integrated Models. Lacroix, R.

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Bookmark: http://trove.nla.gov.au/version/148035
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Testing the Null Hypothesis of Stationarity in Fractionally Integrated Models.
Author
  • Lacroix, R.
Physical Description
  • preprint
Notes
  • In this paper, we show how to estimate consistently the degree of fractional integration at a given frequency K, for both stationary and non stationary long-memory process. The statistics used are the periodigram for values Kn which converge to K with an appropriate rate. We also introduce tests of the hypothesis of stationarity for such processes.
  • Fractional integration ; Long memory parameter ; Spectral density ; Moving average unit root ; Non parametric tests.
  • RePEc:bfr:banfra:72
Language
  • English
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