Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components
AbstractThis paper analyses the power properties, under fixed alternatives, of a Wald-type test, i.e., the (Efficient) Fractional Dickey-Fuller (EFDF) test of 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 we20070625.
Date of creation: Jun 2007
Date of revision:
Other versions of this item:
- Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008. "Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 12(4), pages 1-35, December.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- O40 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-24 (All new papers)
- NEP-ECM-2007-09-24 (Econometrics)
- NEP-ETS-2007-09-24 (Econometric Time Series)
- NEP-MAC-2007-09-24 (Macroeconomics)
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