On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives

Document Type

Article

Publication Date

1-1-1997

Abstract

The choice of the appropriate degree of integration is a very important question in ARIMA time series modeling. This choice is particularly difficult in the presence of either a nearly nonstationary autoregression or a fractionally integrated process. Via a Monte Carlo study we assess the size and power of MA, AR and spectral estimation tests in the presence of fractionally integrated, nearly nonstationary, and nearly noninvertible processes.

Identifier

0031275975 (Scopus)

Publication Title

Communications in Statistics Part B Simulation and Computation

External Full Text Location

https://doi.org/10.1080/03610919708813448

ISSN

03610918

First Page

1431

Last Page

1446

Issue

4

Volume

26

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