Power comparison among tests for fractional unit roots

DOI10.1016/j.econlet.2007.06.017zbMath1255.62268OpenAlexW1976316133MaRDI QIDQ1934727

Carlos Velasco, Ignacio N. Lobato

Publication date: 29 January 2013

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

Full work available at URL: http://hdl.handle.net/10016/4372

zbMATH Keywords

serial correlationlong memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Cites Work

• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Optimal Fractional Dickey–Fuller tests
• Efficient Tests of Nonstationary Hypotheses
• Efficient Wald Tests for Fractional Unit Roots
• A Fractional Dickey-Fuller Test for Unit Roots

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