Simple Wald tests of the fractional integration parameter: an overview of new results

Juan J. Dolado, Jesus Gonzalo () and Laura Mayoral

Economics Working Papers from Universidad Carlos III, Departamento de Economía

Abstract: This paper presents an overview of some new results regarding an easily implementable Wald test-statistic (EFDF test) of the null hypotheses that a time-series process is I(1) or I(0) against fractional I(d) alternatives, with d?(0,1), allowing for unknown deterministic components and serial correlation in the error term. Specifically, we argue that the EFDF test has better power properties under fixed alternatives than other available tests for fractional roots, as well as analyze how to implement this test when the deterministic components or the long-memory parameter are subject to structural breaks.

Keywords: Fractional processes; Deterministic components; Power; Structural breaks (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets and nep-ore
Date: 2008-01
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Persistent link: http://EconPapers.repec.org/RePEc:cte:werepe:we20080129

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