A fractional Dickey-Fuller test for unit roots

Dolado, Juan José; Gonzalo, Jesús; Mayoral, Laura

A fractional Dickey-Fuller test for unit roots

Autor(es): Dolado, Juan José; Gonzalo, Jesús; Mayoral, Laura

Editorial: Blackwell

Fecha de edición: 2002-09

Cita: Econometrica, September 2002, vol. 70, nº 5, p. 1963-2006

ISSN: 0012-9682

Revisado: PeerReviewed

Versión del editor: http://www3.interscience.wiley.com/journal/118940029/abstract

Palabras clave: ARFIMA , Dickey-Fuller test , Fractional processes , Long memory , Unit roots

URI: http://hdl.handle.net/10016/770

Resumen:

This paper presents a new test for fractionally integrated (FI) processes. In particular, it proposes a testing procedure in the time domain that extends the well-known Dickey-Fuller approach. Monte-Carlo simulations support the analytical results derived in t [+]

Mostrar el registro completo del ítem