Lobato, Ignacio N.; Velasco, Carlos - In: Econometrics Journal 9 (2006) 3, pp. 492-510
This article analyzes the fractional Dickey-Fuller (FDF) test for unit roots recently introduced by Dolado, Gonzalo and Mayoral (2002 Econometrica 70, 1963--2006) within a more general setup. These authors motivate their test with a particular analogy with the Dickey-Fuller test, whereas we...
