Fractional integration and the augmented dickey-fuller test

Walter Krämer

No 1997,06, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: This note shows that the Augmented Dickey-Fuller test is consistent against fractional alternatives if the order of the autoregression does not tend to infinity too fast.

Keywords: Dickey-Fuller Test; fractional alternatives (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Fractional integration and the augmented Dickey-Fuller Test (1998)
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