An Eviews program to perform the fractional Dickey-Fuller test

Ahmed Bensalma

MPRA Paper from University Library of Munich, Germany

Abstract: This paper demonstrates how sequential fractional Dickey-Fuller (FDF in short) test can be implemented in EViews. We first briefly introduce how to use the fracdiff an EViews add-in to compute the fractional difference of the Nile data. Next, we give the program that executes the sequential FDF testing on the Nile data series.

Keywords: ARFIMA; Dickey-Fuller test; Fractional Dickey-Fuller test; fractional integration parameter; type II fractional Brownian motion, Fracdiff, EViews add-in (search for similar items in EconPapers)
JEL-codes: C1 C12 C18 C46 (search for similar items in EconPapers)
Date: 2021-04-27
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (1)

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