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An Eviews program to perform the fractional Dickey-Fuller test

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

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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.

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