Publication: On the properties of the Dickey-Pantula test against fractional alternatives
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1997-11
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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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Keywords
Dickey-Pantula test, Nonstationary fractionally integrated processes
Bibliographic citation
Economics Letters, 1997, 57, 1, p. 11-17