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2005-10-12Buch DOI: 10.18452/3537
A Joint Test of Fractional Cyclic Integration and a Linear Time Trend
dc.contributor.authorGil-Alaña, Luis A.
dc.date.accessioned2017-06-15T21:18:56Z
dc.date.available2017-06-15T21:18:56Z
dc.date.created2005-10-12
dc.date.issued2005-10-12
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4189
dc.description.abstractWe propose in this article a joint test for testing simultaneously a deterministic trend component and the degree of integration of the cyclical component in a given time series. The test is directly derived from Robinson’s (1994) procedure, which is based on the Lagrange Multiplier (LM) principle. Thus, it has standard null and local asymptotic distributions. However, finite-sample critical values of the tests are evaluated and, an empirical application using historical annual data, is also carried out at the end of the article.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectLong memoryeng
dc.subjectFractional cycleseng
dc.subjectDeterministic trendseng
dc.subject.ddc330 Wirtschaft
dc.titleA Joint Test of Fractional Cyclic Integration and a Linear Time Trend
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10049538
dc.identifier.doihttp://dx.doi.org/10.18452/3537
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages20
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2001
local.edoc.container-issue26
local.edoc.container-year2001
local.edoc.container-erstkatid2135319-0

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