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Critical values for the augmented efficient Wald test for fractional unit roots

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  • Peter Sephton

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File URL: http://hdl.handle.net/10.1007/s00181-008-0249-3
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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 37 (2009)
Issue (Month): 3 (December)
Pages: 615-626

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Handle: RePEc:spr:empeco:v:37:y:2009:i:3:p:615-626

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Related research

Keywords: Finite-sample critical value; Monte Carlo; Response surface;

References

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  1. James G. MacKinnon & Alfred A. Haug & Leo Michelis, 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Working Papers 1996_07, York University, Department of Economics.
  2. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
  3. Ignacio N. Lobato & Carlos Velasco, 2005. "Efficient Wald Tests For Fractional Unit Roots," Economics Working Papers we056935, Universidad Carlos III, Departamento de Economía.
  4. Presno, Maria Jose & Lopez, Ana Jesus, 2003. "Response surface estimates of stationarity tests with a structural break," Economics Letters, Elsevier, vol. 78(3), pages 395-399, March.
  5. Serena Ng & Pierre Perron, 2005. "A Note on the Selection of Time Series Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(1), pages 115-134, 02.
  6. Lobato, Ignacio N. & Velasco, Carlos, 2008. "Power comparison among tests for fractional unit roots," Economics Letters, Elsevier, vol. 99(1), pages 152-154, April.
  7. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November.
  8. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  9. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "Testing I(1) against I(d) alternatives in the presence of deteministic components," Economics Working Papers 957, Department of Economics and Business, Universitat Pompeu Fabra.
  10. Juan José Dolado & Jesús Gonzalo & Laura Mayoral, 2006. "Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components," Economics Working Papers we20061221, Universidad Carlos III, Departamento de Economía.
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Cited by:
  1. Mann, Janelle M, 2013. "Is there a Global Relationship Across Crude Oil Benchmarks?," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150368, Agricultural and Applied Economics Association.

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