A Fractional Dickey-Fuller Test for Unit Roots
نویسندگان
چکیده
منابع مشابه
Optimal Fractional Dickey-fuller Tests for Unit Roots
This article considers the fractional Dickey-Fuller test for unit roots introduced recently by Dolado, Gonzalo and Mayoral (2002). The implementation of this test depends on a nuisance parameter that affects the power of the test. Since the arbitrary selection proposed by these authors is not optimal, in this article we investigate optimality aspects of the class of tests indexed by this parame...
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In a recent paper, Dolado, Gonzalo and Mayoral (2002) introduce a fractional Dickey-Fuller (FD-F) t-statistic for testing a unit root against the alternative of a mean reverting fractional unit root process. This t-statistic is based on the assumption that the errors are unconditionally homoskedastic. However, Busetti and Taylor (2003), McConnell and Perez-Quiros (2000), and van Dijk et al. (20...
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We derive the probability limit of the standard Dickey-Fuller-test in the context of an exponential random walk. This result might be useful in interpreting tests for unit roots when the test is inadvertantly applied to the levels of the data when the "true" random walk is in the logs. 1 Research supported by Deutsche Forschungsgemeinschaft via SFB 475; we are grateful to Werner Ploberger for h...
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The bad small sample performance of unit root tests is well known and depends partly on the existence of nuisance parameters. To deal with this Johansen (2004) presents a small sample correction of the Dickey-Fuller test. The correction factor depends on biased parameter estimates. The purpose of this study is to, through simulation, compare the small sample correction with a bootstrap approach...
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ژورنال
عنوان ژورنال: Econometrica
سال: 2002
ISSN: 0012-9682,1468-0262
DOI: 10.1111/1468-0262.00359