Simple Fractional Dickey Fuller test
AbstractThis paper proposes a new testing procedure for the degree of fractional integration of a time series inspired on the unit root test of Dickey-Fuller (1979). The composite null hypothesis is that of d>=d0 against d =d0, using the generalization of Sowell's results (1990), we propose a test based on the least favorable case d=d0, to control type I error and when d
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 50315.
Date of creation: 24 Jul 2013
Date of revision:
Fractional integration; Fractional unit root; Dickey Fuller Test;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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