Fractional Dickey-Fuller test with or without prehistorical influence

Ahmed Bensalma

Communications in Statistics - Theory and Methods, 2025, vol. 54, issue 14, 4654-4692

Abstract: Recently, the generalization of the standard Dickey-Fuller test to the fractional case has been proposed. This test, called the fractional Dickey-Fuller (FDF) test, is built on the basis of a composite null hypothesis. The FDF test can be applied to a sample generated from a type I or a type II fractional process. Depending on whether the test is applied to a sample generated from a type I or type II process, it is referred to as a test with or without prehistoric influence, respectively. The primary goal of this research is to investigate the effect of a pre-sample on the finite sample null distribution. The second objective is to highlight the theoretical justifications for the choice of the null composite hypothesis. All the theoretical results are illustrated with simulated and real data sets. Furthermore, to facilitate the reproducibility of our simulation data and figures, we provide all the necessary supplementary material consisting of EViews programs.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2025.2488901 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:54:y:2025:i:14:p:4654-4692

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2025.2488901

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().