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

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dc.contributor.author Dolado, Juan José
dc.contributor.author Gonzalo, Jesús
dc.contributor.author Mayoral, Laura
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned 2008-04-10T07:52:40Z
dc.date.available 2008-04-10T07:52:40Z
dc.date.issued 2008-01
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/2386
dc.description.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 roots, as well as analyze how to implement this test when the deterministic components or the long-memory parameter are subject to structural breaks.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Fractional processes
dc.subject.other Deterministic components
dc.subject.other Power
dc.subject.other Structural breaks
dc.title Simple Wald tests of the fractional integration parameter : an overview of new results
dc.type workingPaper
dc.subject.jel C12
dc.subject.jel C22
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
dc.identifier.repec we20080129
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