Semi-parametric procedures for Unit root and fractional cointegration tests
AbstractThis paper considers the use of the long-memory, semi-parametric estimators to test unit-root and non-cointegrated processes under fractional alternatives. Critical-point values of the proposed tests are given for different sample sizes. The ADF test is used for comparison purposes. The estimation study, the critical values, and the power of the tests are supported by results of Monte Carlo experiments
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 250.
Date of creation: 11 Aug 2004
Date of revision:
Fractional differencing; long-memory; cointegration; unit root.;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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