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.date.accessioned 2008-12-03T08:57:42Z
dc.date.available 2008-12-03T08:57:42Z
dc.date.issued 2009
dc.identifier.bibliographicCitation J. Castle, N. Shepard (eds.). Festchrift in honour in David F. Hendry. Oxford: OUP, 2009. p. 300-321
dc.identifier.uri http://hdl.handle.net/10016/3228
dc.description Forthcoming 2008
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 integration, as well as analyze how to implement this test when the determinitic components or the long-memory parameter are subject to structural breaks.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Oxford University Press
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 bookPart
dc.type.review PeerReviewed
dc.description.status En prensa
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
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