Wang, Shin-Huei; Vasilakis, Chrysovalantis - In: Economics Letters 118 (2013) 2, pp. 389-392
This paper considers the theoretical justifications of Lütkpohl’s (1988) test statistics when the data-generating process is relaxed to be a stationary ARFIMA process. Under suitable regularity conditions, we prove the applicability of Lütkpohl’s (1988) method to the stationary ARFIMA (p,...