Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend

Juan Dolado, Jesus Gonzalo and Laura Mayoral

No 29, Working Papers from Barcelona School of Economics

Abstract: This paper discusses the role of deterministic components in the DGP and in the auxiliary regression model which underlies the implementation of the Fractional Dickey- Fuller (FDF) test for I(1) against F I(d) processes with d 2 [0; 1): Invariant tests to the presence of a drift under the null of I(1) are derived. In common with the standard DF approach in the I(1) vs: I(0) framework, we also examine the consequences of including a constant and /or a linear trend in the regression model when there is a drift under the null. A simple testing strategy entailing only asymptotically normally-distributed tests is proposed. Finally, an empirical application is provided where the FDF test allowing for deterministic components is used to test for long-memory in the per capita GDP of several OCDE countries.

Keywords: Deterministic components; Dickey-Fuller test; fractionally Dickey-Fuller test; fractional processes; long memory; trends; unit roots (search for similar items in EconPapers)
Date: 2003-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.barcelonagse.eu/sites/default/files/working_paper_pdfs/29.pdf (application/pdf)

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:bge:wpaper:29

Access Statistics for this paper

More papers in Working Papers from Barcelona School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Bruno Guallar ().