Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components

Juan Dolado, Jesus Gonzalo and Laura Mayoral

Studies in Nonlinear Dynamics & Econometrics, 2008, vol. 12, issue 4, 35

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

Date: 2008
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Working Paper: Wald Tests of I(1) against I(d) alternatives: some new properties and an extension to processes with trending components (2007)
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DOI: 10.2202/1558-3708.1562

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