On the properties of the Dickey-Pantula test against fractional alternatives

DOI10.1016/S0165-1765(97)81873-3MaRDI QIDQ1127369zbMATH OpenFDO

Authors Juan J. Dolado, F. Marmol

Publication date 13 August 1998

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(97)81873-3

zbMATH Keywords

Dickey-Pantula testnonstationary fractionally integrated processes

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• A Fractional Dickey-Fuller Test for Unit Roots
• Testing for a unit root in time series regression
• A consistent test for unit root against fractional alternative
• Efficient Tests of Nonstationary Hypotheses

Cites work

• Estimation for autoregressive processes with unit roots
• On the power of unit root tests against fractional alternatives
• The Fractional Unit Root Distribution

Cited in

(4)

• Residual log-periodogram inference for long-run relationships
• Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative
• On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
• The behaviour of Dickey–Fuller and Phillips–Perron testsunder the alternative hypothesis

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