IORIO, Francesca DI; FACHIN, Stefano; LUCCHETTI, Riccardo - Dipartimento di Scienze Economiche e Sociali, Facoltà … - 2013
We review the I(2) model in the perspective of its application to near-I(2) data, and report the results of some Monte … Carlo simulations on the small sample performance of asymptotic tests on the long-run coefficients in both I(2) and near-I(2 … behaviour of these statistics is not markedly different in the I(2) and near-I(2) case at ordinary sample sizes, so the usage of …