Title of article :
On the power of the Augmented Dickey–Fuller test against fractional alternatives using bootstrap
Author/Authors :
Luisa Bisaglia، نويسنده , , Isabella Procidano، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2002
Abstract :
We consider a new bootstrap approach to test for a unit root in fractionally integrated time series. We find that this test always improves the power of the Augmented Dickey–Fuller test.
Keywords :
Unit root , Fractional ARIMA processes , Augmented Dickey–Fuller test , Bootstrap
Journal title :
Economics Letters
Journal title :
Economics Letters
