An Eviews program to perform the fractional Dickey-Fuller test

Bensalma, Ahmed (2021): An Eviews program to perform the fractional Dickey-Fuller test.

Abstract

This paper demonstrates how sequential fractional Dickey-Fuller (FDF in short) test can be implemented in EViews. We first briefly introduce how to use the fracdiff an EViews add-in to compute the fractional difference of the Nile data. Next, we give the program that executes the sequential FDF testing on the Nile data series.

• Item Type: MPRA Paper
• Language: English
• Keywords: ARFIMA; Dickey-Fuller test; Fractional Dickey-Fuller test; fractional integration parameter; type II fractional Brownian motion, Fracdiff, EViews add-in
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; 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 > C18 - Methodological Issues: General; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C46 - Specific Distributions ; Specific Statistics

References

Bensalma, A. (2016) `A consistent test for unit root against fractional alternative', International Journal of Operational Research, Vol. 27, Nos. 1/2, pp.252--274.

Bensalma, A. (2018) `Testing the fractional integration parameter revisited: a fractional Dickey-Fuller test', International Journal of Mathematics in Operational Research, Vol. 12, No. 4, pp. 471-506.

Bensalma, A.(2021) `Fractional Dickey Fuller test with or without prehitorical influence' hal-0307575 (v1)

Bensalma, A.(2021) `Fractional Dickey Fuller test with or without prehitorical influence' MPRA Paper No. 107408