Abstract
It is possible to construct a test of the null of no
fractional integration that has nontrivial asymptotic
power against a sequence of alternatives specifying that
the series is I(d) with d =
O(T−1/2), where
T is the sample size. In this paper, I show that
tests for fractional integration that are based on the
partial sum process of the time series have only trivial
asymptotic power (i.e., equal to the size) against this
sequence of local alternatives. These tests include the
rescaled-range test. In this sense, despite its widespread
use in empirical work, the rescaled-range test is a poor
test for fractional integration.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
5 articles.
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