Multivariate tests of fractionally integrated hypotheses

  1. Gil Alaña, Luis Alberiko
Revista:
Working Papers ( Universidad de Navarra. Facultad de Ciencias Económicas y Empresariales )

Any de publicació: 2002

Número: 9

Tipus: Document de treball

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Resum

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.

Fuente de los datos: Dialnet