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A Class Test for Fractional Integration

Author

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  • Hinich Melvin J.

    (University of Texas, Austin)

  • Chong Terence T.L.

    (The Chinese University of Hong Kong)

Abstract
Diebold and Rudebusch (1991) and Haubrich (1993) argue that, when income follows a fractionally differenced process, the Deaton's excessive smoothness paradox can be resolved. A key to the success of their result relies on a valid test for fractional integration. However, most of the tests in the literature are nested within fractional alternatives. This paper designs a new test for a more general hypothesis that the true data generating process is indeed fractionally integrated. The test is applied to the real disposable income per capita of the U.S. and the real quarterly GDP data of the G7 industrial countries.

Suggested Citation

  • Hinich Melvin J. & Chong Terence T.L., 2007. "A Class Test for Fractional Integration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(2), pages 1-24, May.
    • Handle: RePEc:bpj:sndecm:v:11:y:2007:i:2:n:5
    DOI: 10.2202/1558-3708.1382
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    Cited by:

    1. Terence Tai Leung Chong & Chenxi Lu & Wing Hong Chan, 2017. "Long Range Dependence And Structural Breaks In The Gold Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(02), pages 257-273, June.
    2. Terence Tai-Leung Chong, 2007. "Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter," Economics Bulletin, AccessEcon, vol. 3(67), pages 1-10.
    3. Chong Terence T. L. & He Qing & Hinich Melvin J, 2008. "The Nonlinear Dynamics of Foreign Reserves and Currency Crises," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-18, December.
    4. Terence Tai Leung Chong & Chenxi Lu & Wing Hong Chan, 2020. "Long Range Dependence And Structural Breaks In The Gold Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(02), pages 257-273, March.
    5. repec:ebl:ecbull:v:3:y:2007:i:67:p:1-10 is not listed on IDEAS

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