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Simple wald tests of the fractional integration parameter: an overview of new results

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorDolado, Juan José
dc.contributor.authorGonzalo, Jesús
dc.contributor.authorMayoral, Laura
dc.date.accessioned2008-12-03T08:57:42Z
dc.date.available2008-12-03T08:57:42Z
dc.date.issued2009
dc.descriptionForthcoming 2008
dc.description.abstractThis paper presents an overview of some new results regarding an easily implementable Wald test-statistic (EFDF test) of the null hypotheses that a time-series process is I(1) or I(0) against fractional I(d) alternatives, with d ∈ (0, 1), allowing for unknown deterministic components and serial correlation in the error term. Specifically, we argue that the EFDF test has better power properties under fixed alternatives than other available tests for fractional integration, as well as analyze how to implement this test when the determinitic components or the long-memory parameter are subject to structural breaks.
dc.description.statusEn prensa
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJ. Castle, N. Shepard (eds.). Festchrift in honour in David F. Hendry. Oxford: OUP, 2009. p. 300-321
dc.identifier.urihttps://hdl.handle.net/10016/3228
dc.language.isoeng
dc.publisherOxford University Press
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.otherFractional processes
dc.subject.otherDeterministic components
dc.subject.otherPower
dc.subject.otherStructural breaks
dc.titleSimple wald tests of the fractional integration parameter: an overview of new results
dc.typebook part*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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