A consistent test for unit root against fractional alternative

Author

Bensalma, Ahmed

Author_Institution

Ecole Nat. Super. de la Stat. et d´Economie Appl. (ENSSEA), Algiers, Algeria

fYear

2013

fDate

28-30 April 2013

Firstpage

1

Lastpage

6

Abstract

Sowell (1990) found that the fractional unit root distribution pose problems when testing for unit root. In this note, by means of reinterpretation and generalization of Sowell´s results we show that a pure fractionally integrated processes of order d, (FI(d)), with d ∈ R, are not explosive. By using the non explosive feature of F I(d) processes, we build a new testing hypotheses for unit root, which make that the fractional unit root distributions are robust for any misspecification in order of integration.

Keywords

integration; regression analysis; statistical distributions; statistical testing; Sowell result generalization; Sowell result reinterpretation; consistent test; fractional alternative; fractional integration; fractional unit root distribution; fractionally integrated process; hypothesis testing; regression model; Abstracts; Brownian motion; Convergence; Explosives; Robustness; Standards; Testing; Dickey-Fuller test; Fractional integration; Fractional unit root; Unit root;

fLanguage

English

Publisher

ieee

Conference_Titel

Modeling, Simulation and Applied Optimization (ICMSAO), 2013 5th International Conference on

Conference_Location

Hammamet

Print_ISBN

978-1-4673-5812-5

Type

conf

DOI

10.1109/ICMSAO.2013.6552578

Filename

6552578