Optimal Fractional Dickey–Fuller tests

DOI10.1111/J.1368-423X.2006.00195.XMaRDI QIDQ3422396zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(9)

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

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