Testing the fractional integration parameter revisited: a fractional Dickey-Fuller test
نویسندگان
چکیده
منابع مشابه
Fractional integration and the augmented dickey-fuller test
This note shows that the Augmented Dickey Fuller test is consi stent against fractional alternatives if the order of the autoregres sion does not tend to in nity too fast
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In a recent paper, Dolado, Gonzalo and Mayoral (2002) introduce a fractional Dickey-Fuller (FD-F) t-statistic for testing a unit root against the alternative of a mean reverting fractional unit root process. This t-statistic is based on the assumption that the errors are unconditionally homoskedastic. However, Busetti and Taylor (2003), McConnell and Perez-Quiros (2000), and van Dijk et al. (20...
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ژورنال
عنوان ژورنال: International Journal of Mathematics in Operational Research
سال: 2018
ISSN: 1757-5850,1757-5869
DOI: 10.1504/ijmor.2018.092106