An Eviews program to perform the fractional Dickey-Fuller test

This paper demonstrates how sequential fractional Dickey-Fuller (FDF in short) test can be implemented in EViews. We first briefly introduce how to use the fracdiff an EViews add-in to compute the fractional difference of the Nile data. Next, we give the program that executes the sequential FDF testing on the Nile data series.

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Year of publication:	2021-04-27
Authors:	Bensalma, Ahmed

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Bensalma, Ahmed (2021): An Eviews program to perform the fractional Dickey-Fuller test.
Classification:	C1 - Econometric and Statistical Methods: General ; C12 - Hypothesis Testing ; c18 ; c46
Source:	BASE

Persistent link: https://www.econbiz.de/10015241494