Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 庄太量教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1080/03610910802439139 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL
其它资讯
摘要The fractional integrated process has been widely studied since the seminal work of Granger and Joyeux (198http://aims.cuhk.edu.hk/converis/portal/Publication/0). However, most of the tests for fractional integration are time-domain tests. This article develops a Cramer-von Mises type frequency-domain test for fractional integration. Our test is shown to have high power against a wide variety of alternatives. The test is applied to U.S. real disposable income and the quarterly real GDP data of the G7 countries. It is found that most of the series are fractionally integrated at the 5% level. The result is in line with Hinich and Chong (2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/07).
着者Chong TTL, Hinich MJ
期刊名称COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/09
月份1
日期1
卷号38
期次1
出版社Taylor & Francis: STM, Behavioural Science and Public Health Titles
页次14http://aims.cuhk.edu.hk/converis/portal/Publication/0 - 153
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0361-http://aims.cuhk.edu.hk/converis/portal/Publication/0918
电子国际标準期刊号1532-4141
语言英式英语
关键词Cramer-von Mises test; Fractionally integrated process; Long memory; Spectral distribution
Web of Science 学科类别Mathematics; Statistics & Probability; STATISTICS & PROBABILITY
