Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components
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- Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008. "Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-35, December.
References listed on IDEAS
- Robert J. Barro, 2013. "Inflation and Economic Growth," Annals of Economics and Finance, Society for AEF, vol. 14(1), pages 121-144, May.
- Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models 2 volume set," Cambridge Books, Cambridge University Press, number 9780521478373, April.
- Liu, Ming, 1998. "Asymptotics Of Nonstationary Fractional Integrated Series," Econometric Theory, Cambridge University Press, vol. 14(05), pages 641-662, October.
- Juan J. Dolado & Jesus Gonzalo & Laura Mayoral, 2002. "A Fractional Dickey-Fuller Test for Unit Roots," Econometrica, Econometric Society, vol. 70(5), pages 1963-2006, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Davide Delle Monache & Stefano Grassi & Paolo Santucci, 2015.
"Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach,"
Studies in Economics
1511, School of Economics, University of Kent.
- Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2015. "Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach," CREATES Research Papers 2015-30, Department of Economics and Business Economics, Aarhus University.
- Seong Yeon Chang & Pierre Perron, 2017. "Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses," Econometrics, MDPI, Open Access Journal, vol. 5(1), pages 1-26, January.
More about this item
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-24 (All new papers)
- NEP-ECM-2007-09-24 (Econometrics)
- NEP-ETS-2007-09-24 (Econometric Time Series)
- NEP-MAC-2007-09-24 (Macroeconomics)
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