Efficient Wald Tests For Fractional Unit Roots
AbstractIn this article we introduce efficient Wald tests for testing the null hypothesis of unit root against the alternative of fractional unit root. In a local alternative framework, the proposed tests are locally asymptotically equivalent to the optimal Robinson (1991, 1994a) Lagrange Multiplier tests. Our results contrast with the tests for fractional unit roots introduced by Dolado, Gonzalo and Mayoral (2002) which are inefficient. In the presence of short range serial correlation, we propose a simple and efficient two-step test that avoids the estimation of a nonlinear regression model. In addition, the first order asymptotic properties of the proposed tests are not affected by the pre-estimation of short or long memory parameters
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we056935.
Date of creation: Nov 2005
Date of revision:
Other versions of this item:
- NEP-ALL-2006-01-24 (All new papers)
- NEP-ECM-2006-01-24 (Econometrics)
- NEP-ETS-2006-01-24 (Econometric Time Series)
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