On semiparametric testing of I(d) by FEXP models

Research output: Contribution to journalArticle

Abstract

To statistically test the assumption that a scalar-valued process is I(d), this article proposes a test statistic based on a broadband semiparametric method by use of fractional exponential (FEXP) models. The test is semiparametric in terms of flexibility in modeling spectral density. We establish the asymptotic behavior and report finite-sample performance by a Monte Carlo study.

Original languageEnglish
Pages (from-to)1637-1653
Number of pages17
JournalCommunications in Statistics - Theory and Methods
Volume42
Issue number9
DOIs
Publication statusPublished - May 27 2013

Keywords

  • Fractional exponential models
  • I(d) processes
  • Semiparametric testing

ASJC Scopus subject areas

  • Statistics and Probability

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