Optimal fractional Dickey-Fuller tests

Econometrics Journal

Volumn 9, Issue 3, 2006, Pages 492-510

  Lobato, Ignacio N ^a   Velasco, Carlos ^b  

^a INSTITUTO TECNOLÓGICO AUTÓNOMO DE MÉXICO   (Mexico)

^b UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Long memory; Serial correlation; Unit roots

Indexed keywords

EID: 33750475636     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2006.00195.x     Document Type: Article

References (15)

1. Agiakloglou, Ch. and P. Newbold (1994). Lagrange multiplier tests for fractional difference, Journal of Time Series Analysis 15, 253-62.
2. Breitung, J. and U. Hassler (2002). Inference on the cointegration rank in fractionally integrated processes, Journal of Econometrics 110, 167-85.
3. Delgado, M. A. and C. Velasco (2005). Sign tests for long memory time series, Journal of Econometrics 128, 215-51.
4. Dolado, J. J., J. Gonzalo and L. Mayoral (2002). A fractional Dickey-Fuller test for unit roots, Econometrica 70, 1963-2006.
5. Fox, R. and Taqqu, M. (1986). Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series, Annals of Statistics 14, 517-32.
6. Heravi, S. and K. Patterson (2005). Optimal and adaptive semi-parametric narrowband and broadband and maximum likelihood estimation of the long-memory parameter for real exchange rates, The Manchester School 73, 165-213.
7. Ng, S. and P. Perron (2001). Lag length selection and the construction of unit root tests with good size and power, Econometrica 69, 1519-54.
8. Robinson, P.M. (1991). Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression, Journal of Econometrics 47, 67-84.
9. Robinson, P. M. (1994). Efficient tests of nonstationary hypotheses, Journal of the American Statistical Association 89, 1420-37.
10. Robinson, P. M. (1995a). Log-periodogram regression of time series with long range dependence, Annals of Statistics, 23, 1048-72.
11. Robinson, P. M. (1995b). Gaussian semiparametric estimation of long range dependence, Annals of Statistics 23, 1630-61.
12. Robinson, P. M. and J. Hualde (2003). Cointegration in fractional systems with unknown integration orders, Econometrica 71, 1727-66.
13. Tanaka, K. (1999). The Nonstationary Fractional Unit Root, Econometric Theory 15, 249-64.
14. Velasco, C. (1999a). Non-stationary log-periodogram regression, Journal of Econometrics 91, 325-71.
15. Velasco, C. (1999b). Gaussian semiparametric estimation of non-stationary time series, Journal of Time Series Analysis 20, 87-127.