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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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  • 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. 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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