Fractional integration and the augmented Dickey-Fuller Test
AbstractThis note shows that the Augmented Dickey-Fuller test is consistent against fractional alternatives if the order of the autoregression does not tend to infinity too fast. --
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 61 (1998)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Krämer, Walter, 1997. "Fractional integration and the augmented dickey-fuller test," Technical Reports 1997,06, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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