Optimal Fractional Dickey-fuller Tests for Unit Roots
نویسنده
چکیده
This article considers the fractional Dickey-Fuller test for unit roots introduced recently by Dolado, Gonzalo and Mayoral (2002). The implementation of this test depends on a nuisance parameter that affects the power of the test. Since the arbitrary selection proposed by these authors is not optimal, in this article we investigate optimality aspects of the class of tests indexed by this parameter and propose feasible tests with good asymptotic and finite sample properties.
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