In this paper, we show how to estimate consistently the degree of fractional integration at a given frequency θ, for both stationary and non stationary long-memory process. The statistics used are the periodogram for values θn which converge to θ with an appropriate rate. We also introduce tests of the hypothesis of stationarity for such processes.
Classification JEL : C22.
Keywords : Fractional integration, Long memory parameter, Spectral density, Moving average unit root, Non parametric tests
Updated on: 06/12/2018 11:09