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Testing For General Fractional Integration In The Time Domain

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  • Hassler, Uwe
  • Rodrigues, Paulo M.M.
  • Rubia, Antonio

Abstract

We propose a family of least-squares–based testing procedures that look to detect general forms of fractional integration at the long-run and/or the cyclical component of a time series, and that are asymptotically equivalent to Lagrange multiplier tests. Our setting extends Robinson’s (1994) results to allow for short memory in a regression framework and generalizes the procedures in Agiakloglou and Newbold (1994), Tanaka (1999), and Breitung and Hassler (2002) by allowing for single or multiple fractional unit roots at any frequency in [0, π]. Our testing procedure can be easily implemented in practical settings and is flexible enough to account for a broad family of long- and short-memory specifications, including ARMA and/or GARCH-type dynamics, among others. Furthermore, these tests have power against different types of alternative hypotheses and enable inference to be conducted under critical values drawn from a standard chi-square distribution, irrespective of the long-memory parameters.

Suggested Citation

  • Hassler, Uwe & Rodrigues, Paulo M.M. & Rubia, Antonio, 2009. "Testing For General Fractional Integration In The Time Domain," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1793-1828, December.
    • Handle: RePEc:cup:etheor:v:25:y:2009:i:06:p:1793-1828_99
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    Citations

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    Cited by:

    1. Uwe Hassler & Matei Demetrescu & Adina Tarcolea, 2011. "Asymptotic normal tests for integration in panels with cross-dependent units," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(2), pages 187-204, June.
    2. Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016. "Quantile Regression for Long Memory Testing: A Case of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 693-724.
    3. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2017. "Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 198(1), pages 165-188.
    4. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "Modeling US historical time-series prices and inflation using alternative long-memory approaches," Empirical Economics, Springer, vol. 58(4), pages 1491-1511, April.
    5. João Pedro Pereira & Vasco Pesquita & Paulo M. M. Rodrigues & António Rua, 2019. "Market integration and the persistence of electricity prices," Empirical Economics, Springer, vol. 57(5), pages 1495-1514, November.
    6. Leschinski, Christian & Sibbertsen, Philipp, 2014. "Model Order Selection in Seasonal/Cyclical Long Memory Models," Hannover Economic Papers (HEP) dp-535, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    7. Paulo M.M. Rodrigues & Philipp Sibbertsen, 2019. "Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium," Working Papers w201912, Banco de Portugal, Economics and Research Department.
    8. Hassler, Uwe & Rodrigues, Paulo M.M. & Rubia, Antonio, 2014. "Persistence in the banking industry: Fractional integration and breaks in memory," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 95-112.
    9. João Valle e Azevedo & Paulo M.M. Rodrigues & Antonio Rubia, 2009. "Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration," Working Papers w200902, Banco de Portugal, Economics and Research Department.
    10. Martins, Luis F. & Rodrigues, Paulo M.M., 2014. "Testing for persistence change in fractionally integrated models: An application to world inflation rates," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 502-522.
    11. Uwe Hassler & Barbara Meller, 2014. "Detecting multiple breaks in long memory the case of U.S. inflation," Empirical Economics, Springer, vol. 46(2), pages 653-680, March.
    12. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
    13. Yuliya Lovcha & Alejandro Perez-Laborda & Luis Gil-Alana, 2018. "On the invertibility of seasonally adjusted series," Computational Statistics, Springer, vol. 33(1), pages 443-465, March.
    14. Jorge M. L. Andraz & Raúl F. C. Guerreiro & Paulo M. M. Rodrigues, 2018. "Persistence of travel and leisure sector equity indices," Empirical Economics, Springer, vol. 54(4), pages 1801-1825, June.
    15. Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.

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