Semi-parametric procedures for Unit root and fractional cointegration tests
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
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