Searching for fractional evidence using combined unit root tests

dc.contributor.author	Marmol, Francesc
dc.contributor.editor	Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned	2011-03-29T15:39:56Z
dc.date.available	2011-03-29T15:39:56Z
dc.date.issued	1998-06
dc.identifier.uri	http://hdl.handle.net/10016/10613
dc.description.abstract	It has become a fully accepted rule in applied work that rejection of both the difference stationarity and trend stationarity null hypotheses, could imply the possibility that the underlying time series behaves as a fractionally integrated process. In this paper we prove this claim in a rigorous way by showing the consistency of the customary Dickey-Fuller and KPSS tests against fractional alternatives. It is shown that the combined use of both tests only achieves consistency if two-tailed tests are implemented.
dc.format.mimetype	application/octet-stream
dc.format.mimetype	application/octet-stream
dc.format.mimetype	application/pdf
dc.language.iso	eng
dc.relation.ispartofseries	UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries	98-39
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other	Fractionally integrated processes
dc.subject.other	DF test;
dc.subject.other	KPSS test
dc.subject.other	finite sample analysis
dc.subject.other	inflation series
dc.title	Searching for fractional evidence using combined unit root tests
dc.type	workingPaper
dc.subject.eciencia	Estadística
dc.rights.accessRights	openAccess