Fractional integration and the augmented Dickey--Fuller test

DOI10.1016/S0165-1765(98)00194-3zbMath0913.90072OpenAlexW1996400095WikidataQ127615236 ScholiaQ127615236MaRDI QIDQ1274413

Walter Kramer

Publication date: 12 January 1999

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00194-3

zbMATH Keywords

Dickey-Fuller testfractional alternatives

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (8)

The power of residual-based tests for cointegration when residuals are fractionally integrated ⋮ A sequential procedure for testing the existence of a random walk model in finite samples ⋮ Bootstrap tests for fractional integration and cointegration: a comparison study ⋮ Robust Dickey-Fuller tests based on ranks for time series with additive outliers ⋮ Asymptotic normal tests for integration in panels with cross-dependent units ⋮ A comparison of alternative unit root tests ⋮ LONG MEMORY TESTING IN THE TIME DOMAIN ⋮ On the power of the Augmented Dickey--Fuller test against fractional alternatives using bootstrap.

Cites Work

• On the power of unit root tests against fractional alternatives
• The Fractional Unit Root Distribution
• Testing for unit roots in autoregressive-moving average models of unknown order

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