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

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URI: http://hdl.handle.net/10016/4549
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ws971105.pdf (440.53 KB)
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1997-02
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Abstract
The 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.
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Dickey-Pantula test, Fractionally integrated processes
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DES - Working Papers. Statistics and Econometrics. WS
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