Abstract
The fractional integrated process has been widely studied since the seminal work of Granger and Joyeux (1980). However, most of the tests for fractional integration are time-domain tests. This article develops a Cramér–von Mises type frequency-domain test for fractional integration. Our test is shown to have high power against a wide variety of alternatives. The test is applied to U.S. real disposable income and the quarterly real GDP data of the G7 countries. It is found that most of the series are fractionally integrated at the 5% level. The result is in line with Hinich and Chong (2007).
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