Efficient Wald Tests for Fractional Unit Roots
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Publication:5437904
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
serial correlationlong memoryfractional processesLagrange multiplier testlocal powerDickey-Fuller test
Point estimation (62F10) Statistical methods; economic indices and measures (91B82) Non-Markovian processes: hypothesis testing (62M07)
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