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Simple Fractional Dickey Fuller test

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  • Bensalma, Ahmed

Abstract

This paper proposes a new testing procedure for the degree of fractional integration of a time series inspired on the unit root test of Dickey-Fuller (1979). The composite null hypothesis is that of d>=d0 against d =d0, using the generalization of Sowell's results (1990), we propose a test based on the least favorable case d=d0, to control type I error and when d

Suggested Citation

  • Bensalma, Ahmed, 2013. "Simple Fractional Dickey Fuller test," MPRA Paper 50315, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:50315
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    File URL: https://mpra.ub.uni-muenchen.de/50315/1/MPRA_paper_50315.pdf
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    Cited by:

    1. Bensalma, Ahmed, 2015. "New Fractional Dickey and Fuller Test," MPRA Paper 65282, University Library of Munich, Germany.

    More about this item

    Keywords

    Fractional integration; Fractional unit root; Dickey Fuller Test;
    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
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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