Munich Personal RePEc Archive

New Fractional Dickey and Fuller Test

Bensalma, Ahmed (2015): New Fractional Dickey and Fuller Test. Forthcoming in: IEEE Conference paper

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Abstract

The aim of this paper is motivated by the following question: “If a series were best characterized by fractional process, would a researcher be able to detect that fact by using conventional Dickey-Fuller (1979) test?” To answer this question, in simple framework, we propose a new fractional Dickey-Fuller (F-DF) test, different from the test of Dolado, Gonzalo and Mayoral (2002).

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