Simple Fractional Dickey Fuller test

Ahmed Bensalma

MPRA Paper from University Library of Munich, Germany

Abstract: This paper proposes a new testing procedure for the degree of fractional integration of a time series inspired on the unit root test of Dickey-Fuller (1979). The composite null hypothesis is that of d>=d0 against d =d0, using the generalization of Sowell's results (1990), we propose a test based on the least favorable case d=d0, to control type I error and when d

Keywords: Fractional integration; Fractional unit root; Dickey Fuller Test (search for similar items in EconPapers)
JEL-codes: C1 C12 C16 C2 C22 (search for similar items in EconPapers)
Date: 2013-07-24
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