Fractional Integration and Its Influence on Unit Root and Co- Integration Analysis
This study assesses the power of traditional unit root and co-integration tests when they are applied to fractionally integrated stochastic processes in the 0 ≤ d ≤ 1 range. Monte Carlo simulations were conducted to evaluate the sensitivity of the unit root tests in distinguishing the I(1)−I(0) cond...
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| Format: | Article |
| Language: | Portuguese |
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Universidade de São Paulo
2016-09-01
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| Series: | Economia Aplicada |
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| Online Access: | http://www.revistas.usp.br/ecoa/article/view/124397 |