Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components
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- P. S. Sephton, 2012. "Breaking deterministics, test size and the efficient Wald test for fractional unit roots," Applied Economics Letters, Taylor & Francis Journals, vol. 19(1), pages 83-85, January.
- P. S. Sephton, 2010. "Unit roots and purchasing power parity: another kick at the can," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3439-3453.
- Peter Sephton, 2009. "Critical values for the augmented efficient Wald test for fractional unit roots," Empirical Economics, Springer, vol. 37(3), pages 615-626, December.
- P. Sephton, 2008. "Exchange rates and fractional integration revisited," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(6), pages 383-387.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-02-17 (All new papers)
- NEP-ECM-2007-02-17 (Econometrics)
- NEP-ETS-2007-02-17 (Econometric Time Series)
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