Testing fractional integration with monthly data

Economic Modelling

Volumn 16, Issue 4, 1999, Pages 613-629

  Gil Alana, Luis A ^a  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

Fractional integration; Monte Carlo simulations; Seasonal unit roots

Indexed keywords

EID: 0000453843     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0264-9993(99)00017-6     Document Type: Article

References (8)

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3. Dickey, D.A., Hasza, D.P., Fuller, W.A., 1984. Testing for unit roots in seasonal time series. J. Am. Stat. Assoc. 79, 355-367.
4. Hasza, D.P., Fuller, W.A., 1982. Testing for nonstationary parameter specifications in seasonal time series models. Ann. Stat. 10, 1209-1216.
5. Hylleberg, S., Engle, R.F., Granger, C.W.J., Yoo, B.S., 1990. Seasonal integration and cointegration. J. Economet. 44, 215-238.
6. Porter-Hudak, S., 1990. An application of the seasonal fractionally differenced model to the monetary aggregate. J. Am. Stat. Assoc. 85, 338-344.
7. Press, W.H., Flannery, B.P., Teukolsky, S.A., Vetterling, W.T., 1986. Numerical Recipes: The Art of Scientific Computing. Cambridge University Press, Cambridge.
8. Robinson, P.M., 1994. Efficient tests of nonstationary hypotheses. J. Am. Stat. Assoc. 89, 1420-1437.