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

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URI: http://hdl.handle.net/10016/3228
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Wald-test-2008.pdf (308.98 KB)
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2009
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Oxford University Press
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Abstract
This 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.
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Forthcoming 2008
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Fractional processes, Deterministic components, Power, Structural breaks
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J. Castle, N. Shepard (eds.). Festchrift in honour in David F. Hendry. Oxford: OUP, 2009. p. 300-321
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Economists Online