 A Fractional Dickey-Fuller Test for Unit RootsJuan Dolado, Jesus Gonzalo and Laura Mayoral Econometrica, 2002, vol. 70, issue 5, 1963-2006 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"("d"-sub-0) versus "FI"("d"-sub-1), with "d"-sub-1<"d"-sub-0. When "d"-sub-0=1, the proposed test statistics are based on the OLS estimator, or its "t"-ratio, of the coefficient on Δ-super-"d"-sub-1"y"-sub-"t" - 1 in a regression of Δ"y-sub-t" on Δ-super-"d"-sub-1"y"-sub-"t" - 1 and, possibly, some lags of Δ"y-sub-t". When "d"-sub-1 is not taken to be known a priori, a pre-estimation of "d"-sub-1 is needed to implement the test. We show that the choice of any "T"-super-1/2-consistent estimator of "d"-sub-1 is an element of [0 ,1) suffices to make the test feasible, while achieving asymptotic normality. Monte-Carlo simulations support the analytical results derived in the paper and show that proposed tests fare very well, both in terms of power and size, when compared with others available in the literature. The paper ends with two empirical applications. Copyright The Econometric Society 2002. Date: 2002 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ecm:emetrp:v:70:y:2002:i:5:p:1963-2006 Ordering information: This journal article can be ordered from Access Statistics for this article Econometrica is currently edited by Guido Imbens More articles in Econometrica from Econometric Society Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.