Searching for fractional evidence using combined unit root tests

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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
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