Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components
This paper analyses the power properties, under fixed alternatives, of a Wald-type test, i.e., the (Efficient) Fractional Dickey-Fuller (EFDF) test of I(1) against I(d), d
|Date of creation:||25 Jun 2007|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.eco.uc3m.es/|
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