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On the properties of the Dickey-Pantula test against fractional alternatives

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorDolado, Juan José
dc.contributor.authorMármol, Francesc
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2009-06-30T07:50:20Z
dc.date.available2009-06-30T07:50:20Z
dc.date.issued1997-02
dc.description.abstractThe limit properties of the testing sequence underlying the Dickey-Pantula test for a double unit root in a time series are derived when the true data generating process is assumed to be nonstationary fractionally integrated.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/4549
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries1997-11-05
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherDickey-Pantula test
dc.subject.otherFractionally integrated processes
dc.titleOn the properties of the Dickey-Pantula test against fractional alternatives
dc.typeworking paper*
dspace.entity.typePublication
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