Wald Tests of I(1) against I(d) alternatives: some new properties and an extension to processes with trending components

Laura Mayoral
Authors registered in the RePEc Author Service: Jesus Gonzalo and Juan J. Dolado

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: This paper analyses the power properties, under fixed alternatives, of a Wald-type test, i.e., the (Efficient) Fractional Dickey-Fuller (EFDF) test of I(1) against I(d), d

Keywords: Deterministic; components; Fractional; processes; Power; Unit; roots (search for similar items in EconPapers)
JEL-codes: C12 C22 O40 (search for similar items in EconPapers)
Date: 2007-06-25
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Citations: View citations in EconPapers (2)

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Journal Article: Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:we20070625

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