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Simple Wald tests of the fractional integration parameter : an overview of new results

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  • Juan Jose Dolado

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  • Jesus Gonzalo
  • Laura Mayoral

Abstract

This paper presents an overview of some new results regarding an easily implementable Wald test-statistic (EFDF test) of the null hypotheses that a time-series process is I(1) or I(0) against fractional I(d) alternatives, with d?(0,1), allowing for unknown deterministic components and serial correlation in the error term. Specifically, we argue that the EFDF test has better power properties under fixed alternatives than other available tests for fractional roots, as well as analyze how to implement this test when the deterministic components or the long-memory parameter are subject to structural breaks.

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File URL: http://e-archivo.uc3m.es/bitstream/10016/2386/1/SurveyNewResultsWaldFractional.pdf
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Bibliographic Info

Paper provided by Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we20080129.

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Date of creation: Jan 2008
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Handle: RePEc:cte:werepe:we20080129

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Keywords: Fractional processes; Deterministic components; Power; Structural breaks;

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  1. Ignacio N. Lobato & Carlos Velasco, 2005. "Efficient Wald Tests For Fractional Unit Roots," Economics Working Papers we056935, Universidad Carlos III, Departamento de Economía.
  2. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
  3. Ignacio N. Lobato & Carlos Velasco, 2004. "Optimal Fractional Dickey-Fuller Tests for Unit Roots," Working Papers 0401, Centro de Investigacion Economica, ITAM.
  4. Gonzalo, J. & Lee, T.H., 1995. "Pitfalls in Testing for Long Run Relationships," Papers 38, Boston University - Department of Economics.
  5. D. Marinucci & Peter M. Robinson, 2001. "Narrow-band analysis of nonstationary processes," LSE Research Online Documents on Economics 303, London School of Economics and Political Science, LSE Library.
  6. D Marinucci & Peter Robinson, 2001. "Narrow-band analysis of nonstationary processes," LSE Research Online Documents on Economics 2015, London School of Economics and Political Science, LSE Library.
  7. Ignacio N. Lobato & Carlos Velasco, 2006. "Optimal Fractional Dickey-Fuller tests," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 492-510, November.
  8. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  9. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
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