{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,10,31]],"date-time":"2023-10-31T05:22:01Z","timestamp":1698729721265},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[1999,10,1]],"date-time":"1999-10-01T00:00:00Z","timestamp":938736000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1999,10]]},"abstract":"<jats:p>It is possible to construct a test of the null of no \nfractional integration that has nontrivial asymptotic \npower against a sequence of alternatives specifying that \nthe series is <jats:italic>I<\/jats:italic>(<jats:italic>d<\/jats:italic>) with <jats:italic>d<\/jats:italic> = \n<jats:italic>O<\/jats:italic>(<jats:italic>T<\/jats:italic><jats:sup>\u22121\/2<\/jats:sup>), where \n<jats:italic>T<\/jats:italic> is the sample size. In this paper, I show that \ntests for fractional integration that are based on the \npartial sum process of the time series have only trivial \nasymptotic power (i.e., equal to the size) against this \nsequence of local alternatives. These tests include the \nrescaled-range test. In this sense, despite its widespread \nuse in empirical work, the rescaled-range test is a poor \ntest for fractional integration.<\/jats:p>","DOI":"10.1017\/s0266466699155038","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"704-709","source":"Crossref","is-referenced-by-count":5,"title":["THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL \nINTEGRATION"],"prefix":"10.1017","volume":"15","author":[{"given":"Jonathan H.","family":"Wright","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[1999,10,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466699155038","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,9]],"date-time":"2019-05-09T20:09:32Z","timestamp":1557432572000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466699155038\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1999,10]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1999,10]]}},"alternative-id":["S0266466699155038"],"URL":"https:\/\/doi.org\/10.1017\/s0266466699155038","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1999,10]]}}}