Hassler, Uwe; Rodrigues, Paulo M.M.; Rubia, Antonio - In: Econometric Theory 25 (2009) 06, pp. 1793-1828
We propose a family of least-squares–based testing procedures that look to detect general forms of fractional integration at the long-run and/or the cyclical component of a time series, and that are asymptotically equivalent to Lagrange multiplier tests. Our setting extends Robinson’s (1994)...