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Abstract

This 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 Info

Paper provided by Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we20070625.

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Date of creation: Jun 2007
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Handle: RePEc:cte:werepe:we20070625

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Find related papers by JEL classification:

• 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
• 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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