Optimal Fractional Dickey-Fuller Tests for Unit Roots
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References listed on IDEAS
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- Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(04), pages 549-582, August.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "Testing I(1) against I(d) alternatives in the presence of deteministic components," Economics Working Papers 957, Department of Economics and Business, Universitat Pompeu Fabra.
- Dolado, Juan José & Gonzalo, Jesús & Mayoral, Laura, 2008. "Simple Wald tests of the fractional integration parameter : an overview of new results," UC3M Working papers. Economics we20080129, Universidad Carlos III de Madrid. Departamento de Economía.
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