On the properties of the Dickey-Pantula test against fractional alternatives

Francesc Marmol
Authors registered in the RePEc Author Service: Juan J. Dolado

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: The limit properties of the testing sequence underlying the Dickey-Pantula test for a double unit root in a time series are derived when the true data generating process is assumed to be nonstationary fractionally integrated.

Keywords: Dickey-Pantula; test; Fractionally; integrated; processes (search for similar items in EconPapers)
Date: 1997-02
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Citations: View citations in EconPapers (5)

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Journal Article: On the properties of the Dickey-Pantula test against fractional alternatives (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:4549

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