A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION
提出一种用于季度时间序列模型在零频率和季节频率上检验分数阶积分的时域得分统计量，并引入不同频率间分数阶协整的概念，通过模拟和澳大利亚消费函数数据验证其有效性。
This paper develops a time domain score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models. Further, it introduces the notion of fractional cointegration at different frequencies between two seasonally integrated, I(1) series. In testing problems involving seasonal fractional cointegration, it is argued that the alternative hypothesis is one-sided for which the usual score test may not be appropriate. Therefore, based on ideas in Silvapulle and Silvapulle (1995), a one-sided score statistic is constructed. A simulation study finds that the score statistic generally has desirable size and power properties in moderately sized samples. The score test is applied to the quarterly Australian consumption function. The income and consumption series are found to be I(1) at zero and seasonal frequencies and these two series are not cointegrated at any frequency.