Efficient wald tests for fractional unit roots

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dc.contributor.author Lobato, Ignacio N.
dc.contributor.author Velasco, Carlos
dc.date.accessioned 2009-06-08T12:49:41Z
dc.date.available 2009-06-08T12:49:41Z
dc.date.issued 2007-03
dc.identifier.bibliographicCitation Econometrica. 2007 (Marzo), vol. 75, nº 2, p. 575–589
dc.identifier.issn 1468-0262 (Online)
dc.identifier.uri http://hdl.handle.net/10016/4371
dc.description.abstract In this article we introduce efficient Wald tests for testing the null hypothesis of the unit root against the alternative of the fractional unit root. In a local alternative framework, the proposed tests are locally asymptotically equivalent to the optimal Robinson Lagrange multiplier tests. Our results contrast with the tests for fractional unit roots, introduced by Dolado, Gonzalo, and Mayoral, which are inefficient. In the presence of short range serial correlation, we propose a simple and efficient two-step test that avoids the estimation of a nonlinear regression model. In addition, the first-order asymptotic properties of the proposed tests are not affected by the preestimation of short or long memory parameters.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Blackwell
dc.rights © The Econometric Society
dc.subject.other Long memory
dc.subject.other Serial correlation
dc.subject.other Dickey–Fuller test
dc.subject.other Lagrange multiplier test
dc.subject.other Fractional processes
dc.subject.other Local power
dc.title Efficient wald tests for fractional unit roots
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1111/j.1468-0262.2006.00758.x
dc.subject.eciencia Economía
dc.identifier.doi 10.1111/j.1468-0262.2006.00758.x
dc.rights.accessRights openAccess
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