Logo
Munich Personal RePEc Archive

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.

[thumbnail of MPRA_paper_50315.pdf]
Preview
PDF
MPRA_paper_50315.pdf

Download (46kB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.