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On the power of Dickey-Fuller tests against fractional alternatives · Study

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ArticleOn the power of Dickey-Fuller tests against fractional alternatives

Francis X. Diebold1991

Article1991

On the power of Dickey-Fuller tests against fractional alternatives

Francis X. Diebold · Glenn D. Rudebusch

511 citations·0/0 files stored·Economics Letters

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Diverse Scientific and Economic Studies

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References

1982Trends and random walks in macroeconmic time series 1988Tests For Unit Roots: A Monte Carlo Investigation 1989Tests for Unit Roots: A Monte Carlo Investigation 1989Long memory and persistence in aggregate output

Cited by

1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 1996Long memory processes and fractional integration in econometrics 1996Modeling and pricing long memory in stock market volatility 1993A Fractional Cointegration Analysis of Purchasing Power Parity 1996On the power of the KPSS test of stationarity against fractionally-integrated alternatives 1994Cointegration, Fractional Cointegration, and Exchange Rate Dynamics 1993Long Memory in Foreign-Exchange Rates 1995Long Memory in Inflation Rates: International Evidence

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Year1991

Typearticle

Published1991-02-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations511

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0165-1765(91)90163-f

openalex_workW2013833830

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