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Title: | A fractional integration model and testing procedure with roots within the unit circle |
Authors: | Caporale, GM Gil-Alana, LA |
Keywords: | fractional integration;unit roots;testing procedure |
Issue Date: | 15-Sep-2025 |
Publisher: | MDPI |
Citation: | Caporale, G.M. and Gil-Alana, L.A. (2025) 'A fractional integration model and testing procedure with roots within the unit circle', Mathematics, 13 (18), 2978, pp. 1 - 21. doi: 10.3390/math13182978. |
Abstract: | In this paper we propose a statistical model that combines both autoregressions and fractional differentiation in a unified treatment. However, instead of imposing that the roots are strictly on the unit circle, we also allow them to be within the unit circle. This permits a higher degree of flexibility in the specification of the model, with rates of dependence combining exponential with hyperbolic decays. Monte Carlo experiments and empirical applications to climatological and financial data show that the proposed approach performs well. |
Description: | Data Availability Statement:
The data presented in this study are openly available in National Institute of Standards and Technology (NIST), www.nist.gov. JEL codes: C22. MSC: 62M10. |
URI: | https://bura.brunel.ac.uk/handle/2438/31956 |
DOI: | https://doi.org/10.3390/math13182978 |
Other Identifiers: | ORCiD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 ORCiD: Luis Alberiko Gil-Alana https://orcid.org/0000-0002-5760-3123 Article number: 2978 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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