Title :
New fractional Dickey Fuller test
Author_Institution :
Nat. High Sch. of Stat. & Appl. Econ., Pole Univ. Kolea, Algeria
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).
Keywords :
statistical testing; time series; Dolado-Gonzalo-Mayoral test; F-DF test; fractional Dickey Fuller test; Data models; Economic indicators; Market research; Production; Standards; Testing; Time series analysis;
Conference_Titel :
Modeling, Simulation, and Applied Optimization (ICMSAO), 2015 6th International Conference on
Conference_Location :
Istanbul
DOI :
10.1109/ICMSAO.2015.7152263
