Fractional integration and the augmented Dickey-Fuller Test

被引：27
|
作者：
Krämer, W [1 ]
机构：
[1] Univ Dortmund, Fachbereich Stat, D-44221 Dortmund, Germany
来源：
ECONOMICS LETTERS | 1998年 / 61卷 / 03期
关键词：
Dickey-Fuller test; fractional alternatives;
D O I：
10.1016/S0165-1765(98)00194-3
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This note shows that the Augmented Dickey-Fuller test is consistent against fractional alternatives if the order of the autoregression does not tend to infinity too fast. (C) 1998 Elsevier Science S.A. All rights reserved.
引用
收藏
页码：269 / 272
页数：4
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