A Fractional Dickey-Fuller Test for Unit Roots

DOI10.1111/1468-0262.00359MaRDI QIDQ5475014zbMATH OpenOpenAlexFDO

Authors Juan J. Dolado, Jesús Gonzalo, Laura Mayoral

Publication date 16 June 2006

Published in Econometrica (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/770

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

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Cited in

(55)

• On the properties of the Dickey-Pantula test against fractional alternatives
• Likelihood inference for a fractionally cointegrated vector autoregressive model
• Fractionally differenced Gegenbauer processes with long memory: a review
• Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
• The use of the Bloomfield model as an approximation to ARMA processes in the context of fractional integration
• Inference on the cointegration rank in fractionally integrated processes.
• Power comparison among tests for fractional unit roots
• Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19
• Testing the fractional integration parameter revisited: a fractional Dickey-Fuller test
• Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
• Tests for cointegration with structural breaks based on subsamples
• A consistent test for unit root against fractional alternative
• A Wald test for the cointegration rank in nonstationary fractional systems
• Modelling structural breaks, long memory and stock market volatility: an overview
• Testing the unit root hypothesis using generalized range statistics
• The sensitivity of detrended long-memory processes
• Testing unit roots of financial time series: an application to major stock markets in Asia-Pacific area
• Limit theorems for the discount sums of moving averages
• Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
• The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
• Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
• Efficient inference in multivariate fractionally integrated time series models
• Asymptotic inference results for multivariate long‐memory processes
• Optimal Fractional Dickey–Fuller tests
• A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
• Wald tests of I(1) against I(d) alternatives: some new properties and an extension to processes with trending components
• An Omnibus Test for Time Series ModelI(d)
• LONG MEMORY TESTING IN THE TIME DOMAIN
• Heteroskedasticity-robust testing for a fractional unit root
• TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
• A Nonparametric Test for I(0)
• On the power of durbin-watson statistic against fractionally integrated processes
• Root-\(n\)-consistent estimation of weak fractional cointegration
• THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• scientific article; zbMATH DE number 2143293 (Why is no real title available?)
• On semiparametric testing of I(d) by FEXP models
• A test of the null of integer integration against the alternative of fractional integration
• Nonparametric nonstationarity tests
• Asymptotic normality for weighted sums of linear processes
• Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
• Highly Insignificant F-Ratios
• Adaptive long memory testing under heteroskedasticity
• Efficient Wald Tests for Fractional Unit Roots
• A Class Test for Fractional Integration
• Unit root tests using semi-parametric estimators of the long-memory parameter
• Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
• A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data
• LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series
• Fractional Dickey-Fuller test with or without prehistorical influence
• Likelihood inference for a nonstationary fractional autoregressive model
• The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain
• Stochastic integral convergence: a white noise calculus approach
• Type I and type II fractional Brownian motions: a reconsideration

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