RT Journal Article
T1 Wald Tests of I(1) against I(d) alternatives: some new properties and an extension to processes with trending components
A1 Dolado, Juan José
A1 Gonzalo, Jesús
A1 Mayoral, Laura
AB This paper analyses the behaviour of a Wald-type test, i.e., the (E¢ cient) FractionalDickey-Fuller (EFDF) test of I(1) against I(d); d < 1; relative to LM tests. Further, it extendsthe implementation of the EFDF test to the presence of deterministic trending components inthe DGP. Tests of these hypotheses are important in many macroeconomic applications whereit is crucial to distinguish between permanent and transitory shocks because shocks die out inI(d) processes with d < 1. We show how simple is the implementation of the EFDF in thesesituations and argue that, under  xed alternatives, it is preferred to the LM test in Bahadur´ ssense. Finally, an empirical application is provided where the EFDF approach allowing fordeterministic components is used to test for long-memory in the GDP p.c. of several OECDcountries, an issue that has important consequences to discriminate between alternative growththeories.
PB The Berkeley Electronic Press
SN 1558-3708
YR 2008
FD 2008
LK https://hdl.handle.net/10016/3233
UL https://hdl.handle.net/10016/3233
LA eng
NO Forthcoming 2008
DS e-Archivo
RD 20 may. 2024