A Fractional Integration Model and Testing Procedure with Roots Within the Unit Circle
In this paper we propose a statistical model that combines both autoregressions and fractional differentiation in a unified treatment. However, instead of imposing that the roots are strictly on the unit circle, we also allow them to be within the unit circle. This permits a higher degree of flexibi...
| Autores: | , |
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| Formato: | artículo |
| Fecha de publicación: | 2025 |
| País: | España |
| Recursos: | Universidad Francisco de Vitoria |
| Repositorio: | DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria |
| Idioma: | inglés |
| OAI Identifier: | oai:ddfv.ufv.es:10641/7165 |
| Acesso em linha: | https://hdl.handle.net/10641/7165 |
| Access Level: | acceso abierto |
| Palavra-chave: | fractional integration testing procedure unit roots Computer Science (miscellaneous) General Mathematics Engineering (miscellaneous) Yes yes |
| Resumo: | In this paper we propose a statistical model that combines both autoregressions and fractional differentiation in a unified treatment. However, instead of imposing that the roots are strictly on the unit circle, we also allow them to be within the unit circle. This permits a higher degree of flexibility in the specification of the model, with rates of dependence combining exponential with hyperbolic decays. Monte Carlo experiments and empirical applications to climatological and financial data show that the proposed approach performs well. |
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