Ørregaard Nielsen, Morten (contributor); … - 2002 - [Elektronische Ressource]
consider a multivariate variant of the
fractional Dickey-Fuller test also considered by Dolado, Gonzalo & Mayoral (2002). They … trace statistic similar to Johansen (1988), just as the
Dickey-Fuller test generalizes to Johansen’s (1988) trace statistic …. J., Gonzalo, J. & Mayoral, L. (2002), ‘A fractional dickey-fuller test for unit roots’, Econo-
metrica 70, 1963 …