On the properties of the Dickey-Pantula test against fractional alternatives

DOI10.1016/S0165-1765(97)81873-3zbMath0904.90033MaRDI QIDQ1127369

Juan J. Dolado, Francesc Marmol

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Dickey-Pantula testnonstationary fractionally integrated processes

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (2)

Residual log-periodogram inference for long-run relationships ⋮ On the Robustness of Unit Root Tests in the Presence of Double Unit Roots

Cites Work

• Estimation for autoregressive processes with unit roots
• On the power of unit root tests against fractional alternatives
• The Fractional Unit Root Distribution

This page was built for publication: On the properties of the Dickey-Pantula test against fractional alternatives