Efficient wald tests for fractional unit roots

Econometrica

Volumn 75, Issue 2, 2007, Pages 575-589

  Lobato, Ignacio N ^a   Velasco, Carlos ^b  

^a INSTITUTO TECNOLÓGICO AUTÓNOMO DE MÉXICO   (Mexico)

^b UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Dickey fuller test; Fractional processes; Lagrange multiplier test; Local power; Long memory; Serial correlation

Indexed keywords

EID: 33847340194     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2006.00758.x     Document Type: Article

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