Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components
AbstractThis paper analyses how to test I(1) against I(d), d
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we20061221.
Date of creation: Dec 2006
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-02-17 (All new papers)
- NEP-ECM-2007-02-17 (Econometrics)
- NEP-ETS-2007-02-17 (Econometric Time Series)
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- Peter Sephton, 2009. "Critical values for the augmented efficient Wald test for fractional unit roots," Empirical Economics, Springer, vol. 37(3), pages 615-626, December.
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