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
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Dickey-Fuller Test \| fractional alternatives

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Series:	Technical Report ; 1997,06
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	816124310 [GVK] hdl:10419/77335 [Handle] RePEc:zbw:sfb475:199706 [RePEc]
Classification:	C12 - Hypothesis Testing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316678