Optimal Fractional Dickey–Fuller tests

DOI10.1111/J.1368-423X.2006.00195.XzbMATH Open1106.62098OpenAlexW1988384305MaRDI QIDQ3422396FDOQ3422396

Authors: Carlos I. Hoyos Velasco, I. N. Lobato 

Publication date: 13 February 2007

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2006.00195.x

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zbMATH Keywords

tablesserial correlationunit rootslong memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Efficient Tests of Nonstationary Hypotheses
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• Cointegration in Fractional Systems with Unknown Integration Orders
• A Fractional Dickey-Fuller Test for Unit Roots
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Non-stationary log-periodogram regression
• Sign tests for long-memory time series
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Inference on the cointegration rank in fractionally integrated processes.

Cited In (9)

• Adaptive long memory testing under heteroskedasticity
• Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
• Heteroskedasticity-robust testing for a fractional unit root
• Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
• Tests for cointegration with structural breaks based on subsamples
• Power comparison among tests for fractional unit roots
• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
• Efficient Wald Tests for Fractional Unit Roots
• Testing the fractional integration parameter revisited: a fractional Dickey-Fuller test

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