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Testing I(1) against I(d) alternatives in the presence of deteministic components

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  • Juan J. Dolado
  • Jesús Gonzalo
  • Laura Mayoral

Abstract

This paper discusses the role of deterministic components in the DGP and in the auxiliary regression model which underlies the implementation of the Fractional Dickey-Fuller (FDF) test for I(1) against I(d) processes with d € [0, 1). This is an important test in many economic applications because I(d) processess with d

Suggested Citation

  • Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "Testing I(1) against I(d) alternatives in the presence of deteministic components," Economics Working Papers 957, Department of Economics and Business, Universitat Pompeu Fabra.
    • Handle: RePEc:upf:upfgen:957
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    References listed on IDEAS

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    8. Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(4), pages 549-582, August.
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    Citations

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    Cited by:

    1. Laura Mayoral, 2007. "Minimum distance estimation of stationary and non-stationary ARFIMA processes," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 124-148, March.
    2. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November.
    3. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is what?: A simple time-domain test of long-memory vs. structural breaks," Economics Working Papers 954, Department of Economics and Business, Universitat Pompeu Fabra.
    4. P. S. Sephton, 2010. "Unit roots and purchasing power parity: another kick at the can," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3439-3453.
    5. Peter Sephton, 2009. "Critical values for the augmented efficient Wald test for fractional unit roots," Empirical Economics, Springer, vol. 37(3), pages 615-626, December.
    6. Laura Mayoral, 2006. "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 901-920, December.
    7. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2007. "Demand for Money: A Study in Testing Time Series for Long Memory and Nonlinearity," The Economic and Social Review, Economic and Social Studies, vol. 38(1), pages 1-24.

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    More about this item

    Keywords

    Deterministic components; Dickey-Fuller test; fractionally Dickey-Fuller test; fractional processes; long memory; trends; unit roots;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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