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Wald Tests of I(1) against I(d) alternatives: some new properties and an extension to processes with trending components

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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.accessioned2008-12-03T12:52:50Z
dc.date.available2008-12-03T12:52:50Z
dc.date.issued2008
dc.descriptionForthcoming 2008
dc.description.abstractThis paper analyses the behaviour of a Wald-type test, i.e., the (E¢ cient) Fractional Dickey-Fuller (EFDF) test of I(1) against I(d); d < 1; relative to LM tests. Further, it extends the implementation of the EFDF test to the presence of deterministic trending components in the DGP. Tests of these hypotheses are important in many macroeconomic applications where it is crucial to distinguish between permanent and transitory shocks because shocks die out in I(d) processes with d < 1. We show how simple is the implementation of the EFDF in these situations and argue that, under xed alternatives, it is preferred to the LM test in Bahadur´ s sense. Finally, an empirical application is provided where the EFDF approach allowing for deterministic components is used to test for long-memory in the GDP p.c. of several OECD countries, an issue that has important consequences to discriminate between alternative growth theories.
dc.description.statusEn prensa
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationStudies in Nonlinear Dynamics & Econometrics, 2008, v. 12, n. 4
dc.identifier.issn1558-3708
dc.identifier.urihttps://hdl.handle.net/10016/3233
dc.language.isoeng
dc.publisherThe Berkeley Electronic Press
dc.rights© The Berkeley Electronic Press
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.jelC12
dc.subject.jelC22
dc.subject.jelO40
dc.subject.otherDeterministic components
dc.subject.otherFractional processes
dc.subject.otherPower
dc.subject.otherUnit roots
dc.titleWald Tests of I(1) against I(d) alternatives: some new properties and an extension to processes with trending components
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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