Efficient Wald Tests for Fractional Unit Roots

DOI10.1111/j.1468-0262.2006.00758.xzbMath1132.91594OpenAlexW2071935128MaRDI QIDQ5437904

Carlos Velasco, Ignacio N. Lobato

Publication date: 28 January 2008

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1468-0262.2006.00758.x

zbMATH Keywords

serial correlationlong memoryfractional processesLagrange multiplier testlocal powerDickey-Fuller test

Mathematics Subject Classification ID

Point estimation (62F10) Statistical methods; economic indices and measures (91B82) Non-Markovian processes: hypothesis testing (62M07)

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