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Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration
C20 - General
C22 - Time-Series Models
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 (1994) and the time domain procedure proposed by Hassler, Rodrigues and Rubia (2008) when applied to seasonal data.