Finite sample performance of frequency- and time-domain tests for seasonal fractional integration
Testing the order of integration of economic and financial time series has become a conventional procedure prior to any modelling exercise. In this paper, we investigate and compare the finite sample properties of the frequency-domain tests proposed by Robinson [Efficient tests of nonstationary hypotheses, J. Amer. Statist. Assoc. 89(428) (1994), pp. 1420-1437] and the time-domain procedure proposed by Hassler, Rodrigues, and Rubia [Testing for general fractional integration in the time domain, Econometric Theory 25 (2009), pp. 1793-1828] when applied to seasonal data. The results presented are of empirical relevance as they provide some guidance regarding the finite sample properties of these tests.
seasonality fractional integration lm tests non-stationarity