On the properties of the Dickey-Pantula test against fractional alternatives

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On the properties of the Dickey-Pantula test against fractional alternatives

Author(s): Dolado, Juan José; Mármol, Francesc
Publisher: Elsevier
Issued date: 1997-11
Citation: Economics Letters, 1997, 57, 1, p. 11-17
ISSN: 0165-1765
DOI: 10.1016/S0165-1765(97)81873-3
Review: PeerReviewed
Publisher version: http://dx.doi.org/10.1016/S0165-1765(97)81873-3
Keywords: Dickey-Pantula test , Nonstationary fractionally integrated processes
JEL Classification: C12 , C15 , C22
URI: http://hdl.handle.net/10016/3273
Rights: © Elsevier

Abstract:

The limit properties of the testing sequence underlying the Dickey-Pantula test for a double unit root in a time series are derived when the true data generating process is assumed to be nonstationary fractionally integrated. [+]

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