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~isPartOf:"Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund"
~source:"repec"
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Augmented Dickey- Fuller test
1
Dickey-Fuller Test
1
Fractional cointegration
1
Geweke-Porter-Hudak test
1
Modified rescaled range test
1
Monte Carlo experiment
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Phillips-Perron test
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fractional alternatives
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Dittmann, Ingolf
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Krämer, Walter
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Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
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Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
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Fractional integration and the augmented
dickey-fuller
test
Krämer, Walter
-
Institut für Wirtschafts- und Sozialstatistik, …
-
1997
This note shows that the Augmented
Dickey-Fuller
test
is consistent against fractional alternatives if the order of the …
Persistent link: https://www.econbiz.de/10010982341
Saved in:
2
Residual-based tests for fractional cointegration: A Monte Carlo study
Dittmann, Ingolf
-
Institut für Wirtschafts- und Sozialstatistik, …
-
1998
-Porter-Hudak tests and the Augmented
Dickey-Fuller
test
. Only the Modified Rescaled Range test is more powerful than the Phillips …
Persistent link: https://www.econbiz.de/10010955519
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