A Fractional Dickey-Fuller Test for Unit Roots

Juan J. Dolado · Jesús Gonzalo · Laura Mayoral

153 citations0/0 files storedEconometrica

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Time Series Analysis and Forecasting

Abstract

This paper presents a new test for fractionally integrated (FI) processes. In particular, we propose a testing procedure in the time domain that extends the well–known Dickey–Fuller approach, originally designed for the I(1) versus I(0) case, to the more general setup of FI(d0) versus FI(d1), with d1

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 153 citations exist upstream.

References

1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1968Fractional Brownian Motions, Fractional Noises and Applications 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1996Statistics for Long-Memory Processes.1988Trends and random walks in macroeconomic time series 1988Testing for Common Trends

Cited by

2004Modelling structural breaks, long memory and stock market volatility: an overview 2010Likelihood inference for a nonstationary fractional autoregressive model 2004The use of the bloomfield model as an approximation to ARMA processes in the context of fractional integration 2007Efficient Wald Tests for Fractional Unit Roots 2002Inference on the cointegration rank in fractionally integrated processes

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.