15.3 Tests for
against fractional alternatives
A common feature of the first three tests is the use of the heteroskedastic and
autocorrelation consistent (HAC) estimator of the variance (Newey and West; 1987)
for normalisation. The lag-length
is a user-chosen number.
- (i)
- Lo's robust rescaled range test (Lo; 1991)): lo
- (ii)
- KPSS test (Kwiatkowski, Phillips, Schmidt, and Shin; 1992): KPSS
- (iii)
- GKL test (Giraitis, Kokoszka and Leipus; 1998): rvlm
The fourth is a nonparametric test
- (iv)
- Lobrob Test (Lobato and Robinson; 1998): lobrob
This test is nonparametric in the sense that the test is constructed using the
approximation of the spectrum. The bandwidth can be an user-chosen number but
Lobato and Robinson (1998) has suggested a plausible m for empirical applications.