Semi-parametric procedures for Unit root and fractional cointegration tests

This paper considers the use of the long-memory, semi-parametric estimators to test unit-root and non-cointegrated processes under fractional alternatives. Critical-point values of the proposed tests are given for different sample sizes. The ADF test is used for comparison purposes. The estimation study, the critical values, and the power of the tests are supported by results of Monte Carlo experiments

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Year of publication:	2004-08-11
Authors:	Valderio A. Reisen, DEST-UFES, Brazil ; Santander, Luz A. M. ; GET-UFF
Institutions:	Society for Computational Economics - SCE
Subject:	Fractional differencing \| long-memory \| cointegration \| unit root

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Series:	Computing in Economics and Finance 2004.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Computing in Economics and Finance 2004 Number 250
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005345270