Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components
This paper analyses the behaviour 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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Volume (Year): 12 (2008)
Issue (Month): 4 (December)
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