Fractional integration and the augmented dickey-fuller test

This note shows that the Augmented Dickey-Fuller test is consistent against fractional alternatives if the order of the autoregression does not tend to infinity too fast.

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Year of publication:	1997
Authors:	Krämer, Walter
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	Dickey-Fuller Test \| fractional alternatives

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Notes:	Number 1997,06
Classification:	C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010982341