A class test for fractional integration
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香港中文大學研究人員

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摘要Diebold and Rudebusch (1991) and Haubrich (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.
著者Hinich MJ, Chong TTL
期刊名稱STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
出版年份2007
月份6
日期2
卷號11
期次2
出版社BERKELEY ELECTRONIC PRESS
國際標準期刊號1081-1826
電子國際標準期刊號1558-3708
語言英式英語
Web of Science 學科類別Business & Economics; Economics; ECONOMICS; Mathematical Methods In Social Sciences; Social Sciences, Mathematical Methods; SOCIAL SCIENCES, MATHEMATICAL METHODS

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