RT Book, Section
T1 Simple wald tests of the fractional integration parameter: an overview of new results
A1 Dolado, Juan José
A1 Gonzalo, Jesús
A1 Mayoral, Laura
AB 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.
PB Oxford University Press
YR 2009
FD 2009
LK https://hdl.handle.net/10016/3228
UL https://hdl.handle.net/10016/3228
LA eng
NO Forthcoming 2008
DS e-Archivo
RD 30 abr. 2024