BENSALMA, Ahmed (2021): Fractional DickeyFuller test with or without prehistorical influence.

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Abstract
Recently the generalization of the standard DickeyFuller test to the fractional case has been proposed. The proposed test, called fractional DickeyFuller test can be applied to sample generated from a type I or a type II fractional process. Depending on whether the test is applied to sample generated from a type I or type II process, it is referred to as a test with or without prehistoric influence respectively. The main and the first objective of this paper is to study the impact induced by a presample of the finite sample null distribution. In fact, the recently proposed test is built based on a composite null hypothesis rather than a sample one. The second objective is to highlight the theoretical justifications for the choice of the null composite hypothesis. All the theoretical results are illustrated with simulated and real data sets. Furthermore, to facilitate the reproducibility of our simulation data and figures we provide all the necessary supplementary material consisting of EViews programs.
Item Type:  MPRA Paper 

Original Title:  Fractional DickeyFuller test with or without prehistorical influence 
English Title:  Fractional DickeyFuller test with or without prehistorical influence 
Language:  English 
Keywords:  ARFIMA; fractional integration, DickeyFuller test; Fractional DickeyFuller test; type I and type II fractional Brownian motion. 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C15  Statistical Simulation Methods: General C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics C  Mathematical and Quantitative Methods > C5  Econometric Modeling 
Item ID:  107408 
Depositing User:  Mr ahmed Bensalma 
Date Deposited:  26 Apr 2021 13:16 
Last Modified:  26 Apr 2021 13:16 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/107408 