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An Eviews program to perform the fractional Dickey-Fuller test

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  • Bensalma, Ahmed

Abstract

This paper demonstrates how sequential fractional Dickey-Fuller (FDF in short) test can be implemented in EViews. We first briefly introduce how to use the fracdiff an EViews add-in to compute the fractional difference of the Nile data. Next, we give the program that executes the sequential FDF testing on the Nile data series.

Suggested Citation

  • Bensalma, Ahmed, 2021. "An Eviews program to perform the fractional Dickey-Fuller test," MPRA Paper 107445, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:107445
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    File URL: https://mpra.ub.uni-muenchen.de/107445/1/MPRA_paper_107445.pdf
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    References listed on IDEAS

    as
    1. BENSALMA, Ahmed, 2021. "Fractional Dickey-Fuller test with or without prehistorical influence," MPRA Paper 107408, University Library of Munich, Germany.
    2. Ahmed Bensalma, 2016. "A consistent test for unit root against fractional alternative," International Journal of Operational Research, Inderscience Enterprises Ltd, vol. 27(1/2), pages 252-274.
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    Cited by:

    1. BENSALMA, Ahmed, 2021. "Fractional Dickey-Fuller test with or without prehistorical influence," MPRA Paper 107408, University Library of Munich, Germany.

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    More about this item

    Keywords

    ARFIMA; Dickey-Fuller test; Fractional Dickey-Fuller test; fractional integration parameter; type II fractional Brownian motion; Fracdiff; EViews add-in;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions

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