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

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Author Info
Juan Jose Dolado ()
Jesus Gonzalo
Laura Mayoral

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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/dspace/bitstream/10016/2386/1/SurveyNewResultsWaldFractional.pdf
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Publisher 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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Related research
Keywords: Fractional processes; Deterministic components; Power; Structural breaks;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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  1. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August. [Downloadable!] (restricted)
  2. Ignacio N. Lobato & Carlos Velasco, 2006. "Optimal Fractional Dickey-Fuller tests," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 492-510, November. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
  4. Ignacio N. Lobato & Carlos Velasco, 2004. "Optimal Fractional Dickey-Fuller Tests for Unit Roots," Working Papers 0401, Centro de Investigacion Economica, ITAM. [Downloadable!]
  5. Ignacio N Lobato & Carlos Velasco, 2007. "Efficient Wald Tests for Fractional Unit Roots," Econometrica, Econometric Society, vol. 75(2), pages 575-589, 03. [Downloadable!] (restricted)
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  6. Gonzalo, J. & Lee, T.H., 1995. "Pitfalls in Testing for Long Run Relationships," Papers 38, Boston University - Department of Economics.
    Other versions:
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This page was last updated on 2009-11-26.

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