Semi-parametric procedures for Unit root and fractional cointegration tests

Valderio A. Reisen, DEST-UFES, Brazil, Luz A. M. Santander and Get-Uff

No 250, Computing in Economics and Finance 2004 from Society for Computational Economics

Abstract: This paper considers the use of the long-memory, semi-parametric estimators to test unit-root and non-cointegrated processes under fractional alternatives. Critical-point values of the proposed tests are given for different sample sizes. The ADF test is used for comparison purposes. The estimation study, the critical values, and the power of the tests are supported by results of Monte Carlo experiments

Keywords: Fractional differencing; long-memory; cointegration; unit root. (search for similar items in EconPapers)
JEL-codes: C15 C32 C52 (search for similar items in EconPapers)
Date: 2004-08-11
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf4:250

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