#2550. Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume

November 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript3000 $

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Journal’s subject area:
Social Sciences (miscellaneous);
Economics and Econometrics;
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Abstract:
The article presents a new joint test for the order of fractional integration of a multivariate fractional-integrated vector autoregressive series (FIVAR), based on the application of the Lagrange multiplier principle to the admissible generalized least squares estimate of the FIVAR model obtained under the null hypothesis. A key feature of the test we propose is that it is constructed using a heteroscedasticity-resistant variance matrix estimate. The results show that both yield volatility and trading volume are partially integrated, but the former tends to be more robust (with a higher fractional exponent) than the latter when more reliable volatility proxies such as range or realized variance are used.
Keywords:
heteroscedasticity, multivariate tests, fractional integration

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