Multivariate Tests of Fractionally Integrated Hypotheses
WPnull/02 Multivariate Tests of Fractionally Integrated Hypotheses
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- Luis Alberiko Gil-Alana (email@example.com)
School of Economics and Business Administration, University of Navarra
Multivariate tests of fractionally integrated hypotheses are proposed in this article. They are a natural generalization of the univariate tests of Robinson (1994) for testing unit roots and other nonstationary hypotheses. The functional forms of the tests, based on the score principle are calculated in both, the time and the frequency domain. Some simulations based on Monte Carlo experiments and a small empirical application are also carried out at the end of the article.
Classification JEL:C22; G14
Number of Pages:38