Multivariate tests of fractionally integrated hypotheses
Datum der Publikation: 2002
Nummer: 9
Art: Arbeitsdokument
Zusammenfassung
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.