Optimal Fractional Dickey–Fuller tests

DOI10.1111/j.1368-423X.2006.00195.xzbMath1106.62098OpenAlexW1988384305MaRDI QIDQ3422396

Carlos Velasco, Ignacio N. Lobato

Publication date: 13 February 2007

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2006.00195.x

zbMATH Keywords

tablesserial correlationlong memoryunit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Power comparison among tests for fractional unit roots ⋮ Tests for cointegration with structural breaks based on subsamples ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT ⋮ Testing fractional unit roots with non-linear smooth break approximations using Fourier functions ⋮ Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cites Work

• Sign tests for long-memory time series
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Non-stationary log-periodogram regression
• Inference on the cointegration rank in fractionally integrated processes.
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• Efficient Tests of Nonstationary Hypotheses
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Cointegration in Fractional Systems with Unknown Integration Orders
• A Fractional Dickey-Fuller Test for Unit Roots