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.
- Fractional exponential models
- I(d) processes
- Semiparametric testing
ASJC Scopus subject areas
- Statistics and Probability