Testing I(1) against I(d) alternatives in the presence of deteministic components

Juan Dolado, Jesus Gonzalo and Laura Mayoral

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: This paper discusses the role of deterministic components in the DGP and in the auxiliary regression model which underlies the implementation of the Fractional Dickey-Fuller (FDF) test for I(1) against I(d) processes with d € [0, 1). This is an important test in many economic applications because I(d) processess with d

Keywords: Deterministic components; Dickey-Fuller test; fractionally Dickey-Fuller test; fractional processes; long memory; trends; unit roots (search for similar items in EconPapers)
JEL-codes: C12 C22 C40 (search for similar items in EconPapers)
Date: 2005-02
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://econ-papers.upf.edu/papers/957.pdf Whole Paper (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:957

Access Statistics for this paper

More papers in Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
Bibliographic data for series maintained by ( this e-mail address is bad, please contact ).