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On the power of the Augmented Dickey-Fuller test against fractional alternatives using bootstrap

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  • Bisaglia, Luisa
  • Procidano, Isabella

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  • Bisaglia, Luisa & Procidano, Isabella, 2002. "On the power of the Augmented Dickey-Fuller test against fractional alternatives using bootstrap," Economics Letters, Elsevier, vol. 77(3), pages 343-347, November.
    • Handle: RePEc:eee:ecolet:v:77:y:2002:i:3:p:343-347
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    References listed on IDEAS

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    1. Zacharias Psaradakis, 2001. "Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(5), pages 577-594, September.
    2. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
    3. Kramer, Walter, 1998. "Fractional integration and the augmented Dickey-Fuller Test," Economics Letters, Elsevier, vol. 61(3), pages 269-272, December.
    4. I. Procidano & S. Rigatti Luchini, 2002. "Testing unit roots by bootstrap," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 175-189.
    5. Hassler, Uwe & Wolters, Jurgen, 1994. "On the power of unit root tests against fractional alternatives," Economics Letters, Elsevier, vol. 45(1), pages 1-5, May.
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    2. Hyunju Son & Youyi Fong, 2021. "Fast grid search and bootstrap‐based inference for continuous two‐phase polynomial regression models," Environmetrics, John Wiley & Sons, Ltd., vol. 32(3), May.
    3. Franco, Glaura C. & Reisen, Valderio A., 2007. "Bootstrap approaches and confidence intervals for stationary and non-stationary long-range dependence processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 546-562.

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