On Finite Sample Properties of the Robinson's (1994) Tests for Fractional Integration

B. Candelon, L.A. Gil-Alana

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

This article proposes a bootstrap version of the tests of robinson (1994) for testing unit and/or fractional roots. The finite-sample behaviour of the tests, based on these bootstrap critical values is compared with those based on asymptotic and on finite-sample results and with a number of leading unit-root tests. The monte-carlo simulations indicate that the bootstrap version of the tests of robinson (1994) outperforms the other tests, including the one using finite-sample critical values. The improvement in the size and the power is particularly important under ar(1) alternatives. A small empirical application is also carried out with inflation for a panel of 16 european countries. The results show that the differences across countries depend on the critical values used: whereas the i (1) property of inflation is unclear with the asymptotic tests in some countries, the bootstrap version of robinson's (1994) tests cannot reject the presence of a unit-root in inflation.
Original languageEnglish
Pages (from-to)445-464
JournalJournal of Statistical Computation and Simulation
Volume73
Issue number6
DOIs
Publication statusPublished - 1 Jan 2003

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