Author： LUIS GIL-ALANA
Publisher： Taylor & Francis Ltd
ISSN： 0094-9655
Source： Journal of Statistical Computation and Simulation, Vol.72, Iss.12, 2002-01, pp. : 949-957
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Abstract
In this article we examine the effect that logarithmic and power transformations have on the order of integration in raw time series. For this purpose, we use a version of the tests of Robinson (1994) that permits us to test I(d) statistical models. The results, obtained via Monte Carlo, show that there is no effect in the degree of dependence of the series when this type of transformations are employed, resulting thus in useful mechanisms to be applied when a more plausible economic interpretation of the data is required.
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