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Simple Fractional Dickey Fuller test

Bensalma, Ahmed (2013): Simple Fractional Dickey Fuller test. Published in: Procceding of 29th European Meeting of Statisticians : pp. 46-47.

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Abstract

This paper proposes a new testing procedure for the degree of fractional integration of a time series inspired on the unit root test of Dickey-Fuller (1979). The composite null hypothesis is that of d>=d0 against d<d0. The test statistics is the same as in Dickey-Fuller test, exploiting the fact that if the process, under study, is I(d0) then the (-1+d0)th differenced series is I(1) under the null d=d0. If d>=d0, using the generalization of Sowell's results (1990), we propose a test based on the least favorable case d=d0, to control type I error and when d<d0 we show that the usual tests statistics diverges to infinity, providing consistency.

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