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Semi-parametric procedures for Unit root and fractional cointegration tests

Author

Listed:
  • Valderio A. Reisen, DEST-UFES, Brazil
  • Luz A. M. Santander
  • GET-UFF

Abstract

This paper considers the use of the long-memory, semi-parametric estimators to test unit-root and non-cointegrated processes under fractional alternatives. Critical-point values of the proposed tests are given for different sample sizes. The ADF test is used for comparison purposes. The estimation study, the critical values, and the power of the tests are supported by results of Monte Carlo experiments

Suggested Citation

  • Valderio A. Reisen, DEST-UFES, Brazil & Luz A. M. Santander & GET-UFF, 2004. "Semi-parametric procedures for Unit root and fractional cointegration tests," Computing in Economics and Finance 2004 250, Society for Computational Economics.
    • Handle: RePEc:sce:scecf4:250
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    More about this item

    Keywords

    Fractional differencing; long-memory; cointegration; unit root.;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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