Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components

Laura Mayoral
Authors registered in the RePEc Author Service: Juan J. Dolado and Jesus Gonzalo

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

Abstract: This paper analyses how to test I(1) against I(d), d

Keywords: Deterministic; Components; Dickey-Fuller; Test; Fractional; Dickey-Fuller; Test; Fractional; Processes; Long; Memory; Trends; Unit; Roots (search for similar items in EconPapers)
Date: 2006-12-21
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:we20061221

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