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- W2049169787 abstract "Testing the order of integration of economic and financial time series has become a conventional procedure prior to any modelling exercise. In this paper, we investigate and compare the finite sample properties of the frequency-domain tests proposed by Robinson [Efficient tests of nonstationary hypotheses, J. Amer. Statist. Assoc. 89(428) (1994), pp. 1420–1437] and the time-domain procedure proposed by Hassler, Rodrigues, and Rubia [Testing for general fractional integration in the time domain, Econometric Theory 25 (2009), pp. 1793–1828] when applied to seasonal data. The results presented are of empirical relevance as they provide some guidance regarding the finite sample properties of these tests." @default.
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- W2049169787 date "2013-07-01" @default.
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- W2049169787 title "Finite sample performance of frequency- and time-domain tests for seasonal fractional integration" @default.
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- W2049169787 doi "https://doi.org/10.1080/00949655.2012.660489" @default.
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