Testing I(1) against I(d) alternatives in the presence of deteministic components
This paper discusses the role of deterministic components in the DGP and in the auxiliary regression model which underlies the implementation of the Fractional Dickey-Fuller (FDF) test for I(1) against I(d) processes with d € [0, 1). This is an important test in many economic applications because I(d) processess with d
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hylleberg, Svend & Mizon, Grayham E., 1989. "A note on the distribution of the least squares estimator of a random walk with drift," Economics Letters, Elsevier, vol. 29(3), pages 225-230.
- Breitung, Jörg & Hassler, Uwe, 2000.
"Inference on the cointegration rank in fractionally integrated processes,"
SFB 373 Discussion Papers
2000,65, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Breitung, Jorg & Hassler, Uwe, 2002. "Inference on the cointegration rank in fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 110(2), pages 167-185, October.
- Joerg Breitung and Uwe Hassler, 2001. "Inference on the Cointegration Rank in Fractionally Integrated Processes," Computing in Economics and Finance 2001 233, Society for Computational Economics.
- Michelacci, Claudio & Zaffaroni, Paolo, 2000.
"(Fractional) beta convergence,"
Journal of Monetary Economics,
Elsevier, vol. 45(1), pages 129-153, February.
- Michelacci, C. & Zaffaroni, P., 2000. "(Fractional) Beta Convergence," Papers 383, Banca Italia - Servizio di Studi.
- Claudio Michelacci & Paolo Zaffaroni, 2000. "(Fractional) Beta Convergence," Temi di discussione (Economic working papers) 383, Bank of Italy, Economic Research and International Relations Area.
- Michelacci, C. & Zaffaroni, P., 1998. "(Fractional) Beta Convergence," Papers 9803, Centro de Estudios Monetarios Y Financieros-.
- West, Kenneth D, 1988. "Asymptotic Normality, When Regressors Have a Unit Root," Econometrica, Econometric Society, vol. 56(6), pages 1397-1417, November.
- Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(04), pages 549-582, August.
- Jones, Charles I, 1995. "Time Series Tests of Endogenous Growth Models," The Quarterly Journal of Economics, MIT Press, vol. 110(2), pages 495-525, May.
- Juan J. Dolado & Francesc Marmol, 2004. "Asymptotic inference results for multivariate long-memory processes," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 168-190, 06.
- Ignacio N. Lobato & Carlos Velasco, 2004. "Optimal Fractional Dickey-Fuller Tests for Unit Roots," Working Papers 0401, Centro de Investigacion Economica, ITAM.
- repec:cep:stiecm:/2000/391 is not listed on IDEAS
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
- Liu, Ming, 1998. "Asymptotics Of Nonstationary Fractional Integrated Series," Econometric Theory, Cambridge University Press, vol. 14(05), pages 641-662, October.
When requesting a correction, please mention this item's handle: RePEc:upf:upfgen:957. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.