The power of the tests of Robinson (1994) in the context of fractionally integrated moving average models

Luis Gil-Alana

No 2001,66, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: We examine in this article the power of the tests of Robinson (1994) for testing I(d) statistical models in the presence of moving average (MA) disturbances. The results show that the tests behave relatively well if we correctly assume that the disturbances are MA. However, assuming white noise or autoregressive disturbances, the power of the tests against one-sided alternatives is very low.

Keywords: Monte Carlo simulations; Fractional integration (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200166

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