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A consistent test for unit root against fractional alternative

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  • Ahmed Bensalma

Abstract

This paper deals with a fractionally integrated, FI(d), processes {yt, t = 1,... , n}, where the fractional integrated parameter d is any real number greater than 1/2. We show, for these processes, that the suitable hypotheses test for unit root are H0: d ≥ 1 against H1: d < 1. These new hypotheses test can be considered as a test for unit root against fractional alternative. The asymptotic distributions under the null and alternative generalise those obtained by Sowell (1990). Monte-Carlo simulations show that the proposed test is robust for any missepecification of the order of integration parameter d and that it fares very well in terms of power and size. The paper ends with empirical applications by revisiting Nelson-Plosser Data.

Suggested Citation

  • Ahmed Bensalma, 2016. "A consistent test for unit root against fractional alternative," International Journal of Operational Research, Inderscience Enterprises Ltd, vol. 27(1/2), pages 252-274.
    • Handle: RePEc:ids:ijores:v:27:y:2016:i:1/2:p:252-274
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    Cited by:

    1. BENSALMA, Ahmed, 2021. "Fractional Dickey-Fuller test with or without prehistorical influence," MPRA Paper 107408, University Library of Munich, Germany.
    2. Bensalma, Ahmed, 2015. "New Fractional Dickey and Fuller Test," MPRA Paper 65282, University Library of Munich, Germany.
    3. Bensalma, Ahmed, 2021. "An Eviews program to perform the fractional Dickey-Fuller test," MPRA Paper 107445, University Library of Munich, Germany.

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