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Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components

Author

Listed:
  • Dolado, Juan José
  • Gonzalo, Jesús
  • Mayoral, Laura

Abstract

This paper analyses how to test I(1) against I(d), d

Suggested Citation

  • Dolado, Juan José & Gonzalo, Jesús & Mayoral, Laura, 2006. "Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components," UC3M Working papers. Economics we20061221, Universidad Carlos III de Madrid. Departamento de Economía.
  • Handle: RePEc:cte:werepe:we20061221
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    File URL: https://e-archivo.uc3m.es/bitstream/handle/10016/583/DoladoGonzaloMayoral2206.pdf?sequence=1
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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. P. Sephton, 2008. "Exchange rates and fractional integration revisited," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(6), pages 383-387.

    More about this item

    Keywords

    Deterministic Components;

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