A class test for fractional integration
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)

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Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/1WOS source URL

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摘要Diebold and Rudebusch (http://aims.cuhk.edu.hk/converis/portal/Publication/199http://aims.cuhk.edu.hk/converis/portal/Publication/1) and Haubrich (http://aims.cuhk.edu.hk/converis/portal/Publication/1993) argue that, when income follows a fractionally differenced process, the Deaton's excessive smoothness paradox can be resolved. A key to the success of their result relies on a valid test for fractional integration. However, most of the tests in the literature are nested within fractional alternatives. This paper designs a new test for a more general hypothesis that the true data generating process is indeed fractionally integrated. The test is applied to the real disposable income per capita of the U.S. and the real quarterly GDP data of the G7 industrial countries.

着者Hinich MJ, Chong TTL
期刊名称STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
出版年份2007
月份6
日期2
卷号http://aims.cuhk.edu.hk/converis/portal/Publication/1http://aims.cuhk.edu.hk/converis/portal/Publication/1
期次2
出版社BERKELEY ELECTRONIC PRESS
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/108http://aims.cuhk.edu.hk/converis/portal/Publication/1-http://aims.cuhk.edu.hk/converis/portal/Publication/1826
语言英式英语

Web of Science 学科类别Business & Economics; Economics; ECONOMICS; Mathematical Methods In Social Sciences; Social Sciences, Mathematical Methods; SOCIAL SCIENCES, MATHEMATICAL METHODS