Simple Fractional Dickey Fuller test
This paper proposes a new testing procedure for the degree of fractional integration of a time series inspired on the unit root test of Dickey-Fuller (1979). The composite null hypothesis is that of d>=d0 against d =d0, using the generalization of Sowell's results (1990), we propose a test based on the least favorable case d=d0, to control type I error and when d
|Date of creation:||24 Jul 2013|
|Date of revision:|
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Web page: https://mpra.ub.uni-muenchen.de
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