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
相关论文
共 50 条
  • [31] Effects of breaks under the null hypothesis with the Dickey-Fuller test for unit root
    Lizarazu-Alanez, Eddy
    Villasenor-Alva, Jose A.
    AGROCIENCIA, 2007, 41 (02) : 193 - 203
  • [32] Spurious rejection using Dickey-Fuller tests
    Cook, S
    APPLIED ECONOMICS LETTERS, 2002, 9 (09) : 557 - 562
  • [33] Weighted Dickey-Fuller processes for detecting stationarity
    Steland, Ansgar
    JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2007, 137 (12) : 4011 - 4030
  • [34] Joint application of the Dickey-Fuller and KPSS tests
    Charemza, WW
    Syczewska, EM
    ECONOMICS LETTERS, 1998, 61 (01) : 17 - 21
  • [35] Response surfaces estimates for the Dickey-Fuller unit root test with structural breaks
    Silvestre, JLCI
    Rosselló, ASI
    Ortuño, MA
    ECONOMICS LETTERS, 1999, 63 (03) : 279 - 283
  • [36] Bubble Identification in the Emerging Economy Fuel Price Series: Evidence from Generalized Sup Augmented Dickey-Fuller Test
    Ahmed, Mumtaz
    Irfan, Muhammad
    Meero, Abdelrhman
    Tariq, Maryam
    Comite, Ubaldo
    Abdul Rahman, Abdul Aziz
    Sial, Muhammad Safdar
    Gunnlaugsson, Stefan B.
    PROCESSES, 2022, 10 (01)
  • [37] Correcting size distortion of the Dickey-Fuller test via recursive mean adjustment
    Cook, S
    STATISTICS & PROBABILITY LETTERS, 2002, 60 (01) : 75 - 79
  • [38] DETECTION OF HEALTHCARE BUBBLES IN IRAN: A LEFT-TAILED AUGMENTED DICKEY-FULLER (LTADF) APPROACH
    Khodabakhshzadeh, Saeed
    INTERNATIONAL JOURNAL OF CONTEMPORARY ECONOMICS AND ADMINISTRATIVE SCIENCES, 2018, 8 (01): : 58 - 72
  • [39] TESTING FOR UNIT ROOTS - A SIMPLE ALTERNATIVE TO DICKEY-FULLER
    LEYBOURNE, SJ
    APPLIED ECONOMICS, 1994, 26 (07) : 721 - 729
  • [40] Dickey-fuller type of tests against nonlinear dynamic models
    He, Changli
    Sandberg, Rickard
    OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2006, 68 : 835 - 861
12345