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On the properties of the Dickey-Pantula test against fractional alternatives

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  • Dolado, Juan José
  • Mármol, Francesc

Abstract

The limit properties of the testing sequence underlying the Dickey-Pantula test for a double unit root in a time series are derived when the true data generating process is assumed to be nonstationary fractionally integrated.

Suggested Citation

  • Dolado, Juan José & Mármol, Francesc, 1997. "On the properties of the Dickey-Pantula test against fractional alternatives," DES - Working Papers. Statistics and Econometrics. WS 4549, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:4549
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    References listed on IDEAS

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    1. Pantula, Sastry G., 1989. "Testing for Unit Roots in Time Series Data," Econometric Theory, Cambridge University Press, vol. 5(2), pages 256-271, August.
    2. Sen, D L & Dickey, David A, 1987. "Symmetric Test for Second Differencing in Univariate Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 463-473, October.
    3. Diebold, Francis X. & Rudebusch, Glenn D., 1991. "On the power of Dickey-Fuller tests against fractional alternatives," Economics Letters, Elsevier, vol. 35(2), pages 155-160, February.
    4. : Katarina Juselius, 1993. "Do Purchasing Power Parity and Uncovered Interest Rate Parity Hold in the Long Run? - An Example of Likelihood in a Multivariate Time-Series Model," Discussion Papers 93-14, University of Copenhagen. Department of Economics.
    5. Kitamura, Yuichi, 1995. "Estimation of Cointegrated Systems with I(2) Processes," Econometric Theory, Cambridge University Press, vol. 11(1), pages 1-24, February.
    6. Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 455-461, October.
    7. Haldrup, Niels, 1994. "Semiparametric Tests for Double Unit Roots," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 109-122, January.
    8. Hassler, Uwe & Wolters, Jurgen, 1994. "On the power of unit root tests against fractional alternatives," Economics Letters, Elsevier, vol. 45(1), pages 1-5, May.
    9. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
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    Cited by:

    1. Hassler, U. & Marmol, F. & Velasco, C., 2006. "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
    2. Kramer, Walter & Marmol, Francesc, 2004. "The power of residual-based tests for cointegration when residuals are fractionally integrated," Economics Letters, Elsevier, vol. 82(1), pages 63-69, January.
    3. Ana Pérez & Esther Ruiz, 2002. "Modelos de memoria larga para series económicas y financieras," Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 395-445, September.

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    Dickey-Pantula test;

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