On the Power of Underdifferencing and Overdifferencing Tests against Nearly Nonstationary Alternatives
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چکیده
The choice of the appropriate degree of integration is a very important question in ARIMA time series modeling. This choice is particularly diicult in the presence of either a nearly nonstationary autoregression or a fractionally integrated process. Via a Monte Carlo study we assess the size and power of MA, AR and spectral estimation tests in the presence of fractionally integrated, nearly nonstationary, and nearly noninvertible processes.
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تاریخ انتشار 2007