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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/770
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| Title: | A fractional Dickey-Fuller test for unit roots |
| Author(s): | Dolado, Juan José [dolado]
Gonzalo, Jesús [jgonzalo]
Mayoral, Laura |
| Publisher: | Blackwell |
| Issued date: | Sep-2002 |
| Citation: | Econometrica, September 2002, vol. 70, nº 5, p. 1963-2006 |
| URI: | http://hdl.handle.net/10016/770 |
| ISSN: | 0012-9682 |
| Abstract: | This paper presents a new test for fractionally integrated (FI) processes. In particular, it proposes a testing procedure in the time domain that extends the well-known Dickey-Fuller approach. Monte-Carlo simulations support the analytical results derived in the paper and show that proposed tests fare very well, both in terms of power and size, when compared with others available in the literature. The paper ends with two empirical applications. |
| Review: | PeerReviewed |
| Publisher version: | http://www3.interscience.wiley.com/journal/118940029/abstract |
| Keywords: | ARFIMA
Dickey-Fuller test
Fractional processes
Long memory
Unit roots |
| Appears in Collections: | Economists Online
DE - Artículos de Revistas
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