New Fractional Dickey and Fuller Test

Ahmed Bensalma

MPRA Paper from University Library of Munich, Germany

Abstract: The aim of this paper is motivated by the following question: “If a series were best characterized by fractional process, would a researcher be able to detect that fact by using conventional Dickey-Fuller (1979) test?” To answer this question, in simple framework, we propose a new fractional Dickey-Fuller (F-DF) test, different from the test of Dolado, Gonzalo and Mayoral (2002).

Keywords: Fractional unit root; Dickey-Fuller Test; Fractional integration parameter. (search for similar items in EconPapers)
JEL-codes: C1 C22 C4 C51 C58 E2 E5 (search for similar items in EconPapers)
Date: 2015-05-27
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mac and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:65282

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