The Power of the Tests of Robinson (1994) in the Context of Fractionally Integrated Moving Average Models
dc.contributor.author | Gil-Alaña, Luis A. | |
dc.date.accessioned | 2017-06-15T21:33:55Z | |
dc.date.available | 2017-06-15T21:33:55Z | |
dc.date.created | 2005-10-17 | |
dc.date.issued | 2005-10-17 | |
dc.identifier.issn | 1436-1086 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/4266 | |
dc.description.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. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | Monte Carlo simulations | eng |
dc.subject | Fractional integration | eng |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | The Power of the Tests of Robinson (1994) in the Context of Fractionally Integrated Moving Average Models | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-10050345 | |
dc.identifier.doi | http://dx.doi.org/10.18452/3614 | |
local.edoc.pages | 7 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2001 | |
dc.identifier.zdb | 2135319-0 | |
bua.series.name | Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes | |
bua.series.issuenumber | 2001,66 |