Efficient wald tests for fractional unit roots

Ignacio Lobato
Authors registered in the RePEc Author Service: Carlos Velasco

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: In this article we introduce efficient Wald tests for testing the null hypothesis of unit root against the alternative of fractional unit root. In a local alternative framework, the proposed tests are locally asymptotically equivalent to the optimal Robinson (1991, 1994a) Lagrange Multiplier tests. Our results contrast with the tests for fractional unit roots introduced by Dolado, Gonzalo and Mayoral (2002) which are inefficient. In the presence of short range serial correlation, we propose a simple and efficient two-step test that avoids the estimation of a nonlinear regression model. In addition, the first order asymptotic properties of the proposed tests are not affected by the pre-estimation of short or long memory parameters

Date: 2005-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Efficient Wald Tests for Fractional Unit Roots (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:we056935

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