Johansen, Søren (contributor); … - 2007
(fractional) unit root test in our model.
To allow even more generality we analyze the autoregressive model
dXt = d bLbXt +
kX … and 2 > 0.
Thus, thetestthat = 0 isatestthattheprocessisfractionaloforderdversusd b;
i.e. the fractional unit root test …(1 (1 z)b) has a
unit root also when 6= 0. However, we shall still refer to the test of = 0 as the unit
root test in …