Numerical recipes: the art of scientific computing
Numerical recipes: the art of scientific computing
Proof of a fundamental result in self-similar traffic modeling
ACM SIGCOMM Computer Communication Review
| Hi-index | 0.98 |
This article examines the finite sample behaviour of time and frequency domain versions of the tests of Robinson (1994) for testing roots in the unit circle, with integer or fractional orders of integration. In finite samples, the two versions differ, in some cases considerably. We show analytically that the difference between the two statistics is O"p(T^-^1^/^2). Several Monte Carlo experiments are conducted, and a small empirical application, illustrating this problem, is also carried out at the end of the article.