Autore: Gil-Alana, Luis A.
Titolo: Multivariate tests of fractionally integrated hypotheses
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1998 - Fascicolo: 19 - Pagina iniziale: 1 - Pagina finale: 51

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, Wald and likelihood ratio principles are calculated in both, the time and the frequency domain. Some simulations based on Monte Carlo experiments are also carried out at the end of the article.


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