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Testing the order of fractional integration in the presence of smooth trends, with an application to UK Great Ratios

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Listed:
  • Mustafa R. K{i}l{i}nc{c}
  • Michael Massmann
  • Maximilian Ambros

Abstract

This note proposes semi-parametric tests for investigating whether a stochastic process is fractionally integrated of order $\delta$, where $|\delta|

Suggested Citation

  • Mustafa R. K{i}l{i}nc{c} & Michael Massmann & Maximilian Ambros, 2024. "Testing the order of fractional integration in the presence of smooth trends, with an application to UK Great Ratios," Papers 2410.10749, arXiv.org.
    • Handle: RePEc:arx:papers:2410.10749
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    References listed on IDEAS

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    1. Bierens, Herman J., 1997. "Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate," Journal of Econometrics, Elsevier, vol. 81(1), pages 29-64, November.
    2. Ignacio N. Lobato & Peter M. Robinson, 1998. "A Nonparametric Test for I(0)," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 475-495.
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