Optimal Fractional Dickey-Fuller Tests for Unit Roots

Ignacio Lobato and Carlos Velasco

No 401, Working Papers from Centro de Investigacion Economica, ITAM

Abstract: This article studies the fractional Dickey- Fuller (FDF) test for unit roots recently introduced by Dolado, Gonzalo and Mayoral (2002). Apart from the analogy with the Dickey-Fuller test, the main motivation for their method relies on simulations since these authors do not provide any justification for their particular implementation of the FDF test. In order to give additional rationale to the test, we frame the FDF test in a model where a nuisance or auxiliary parameter is not identified under the null hypothesis. Within this framework we investigate optimality aspects of the class of tests indexed by this auxiliary parameter and show that the test proposed by these authors is not optimal. In addition, we propose feasible FDF tests with good asymptotic and finite sample properties.

Pages: 29 pages
Date: 2004-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://ftp.itam.mx/pub/academico/inves/lobato/04-01.pdf First version, 2004 (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:cie:wpaper:0401

Access Statistics for this paper

More papers in Working Papers from Centro de Investigacion Economica, ITAM Contact information at EDIRC.
Bibliographic data for series maintained by Diego Dominguez ().