A fractional Dickey-Fuller test for unit roots

Econometrica

Volumn 70, Issue 5, 2002, Pages 1963-2006

  Dolado, Juan J ^a   Gonzalo, Jesús ^a   Mayoral, Laura ^b  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b UNIVERSITAT AUTÒNOMA DE BARCELONA   (Spain)

Author keywords

ARFIMA; Dickey Fuller test; Fractional processes; Long memory; Unit roots

Indexed keywords

COMPUTER SIMULATION; MATHEMATICAL MODELS; MONTE CARLO METHODS; REGRESSION ANALYSIS; STATISTICS; TIME DOMAIN ANALYSIS;

FRACTIONAL DICKEY-FULLER TESTS;

INTEGRATION;

EID: 0036377710     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00359     Document Type: Article

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