Rodriguez, Gabriel; Ramirez, Dionisio - Departamento de Economía, Pontificia Universidad … - 2013
This note analyzes the empirical size of the augmented Dickey and Fuller (ADF) statistic proposed by Perron and Rodríguez (2003) when the errors are frac- tional. This ADF is based on a searching procedure for additive outliers based on
rst-differences of the data named Tau- d. Simulations...