Testing I(1) Against I(d) Alternatives in the Presence of Deteministic Components

This paper discusses the role of deterministic components in the DGP and in the auxiliary regression model which underlies the implementation of the Fractional Dickey-Fuller (FDF) test for I(1) against I(d) processes with d € [0, 1). This is an important test in many economic applications because I(d) processess with d

[1]  J. Dolado,et al.  Asymptotic Inference Results for Multivariate Long-Memory Processes , 2004 .

[2]  J. Dolado,et al.  What is What?: A Simple Time-Domain Test of Long-Memory vs. Structural Breaks , 2005 .

[3]  Fallaw Sowell.  Maximum likelihood estimation of stationary univariate fractionally integrated time series models , 1992 .

[4]  A. Maddison,et al.  Monitoring the world economy, 1820-1992 , 1995 .

[5]  Paul Newbold,et al.  LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE , 1994 .

[6]  A note on Michelacci and Zaffaroni, long memory, and time series of economic growth , 2000 .

[7]  Jan Beran,et al.  Maximum Likelihood Estimation of the Differencing Parameter for Invertible Short and Long Memory Autoregressive Integrated Moving Average Models , 1995 .

[8]  A New Minimum Distance Estimation Procedure of ARFIMA Processes , 2001 .

[9]  Grayham E. Mizon,et al.  A note on the distribution of the least squares estimator of a random walk with drift , 1989 .

[10]  W. Fuller,et al.  LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME SERIES WITH A UNIT ROOT , 1981 .

[11]  P. Robinson,et al.  Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series , 2000 .

[12]  D. Dickey,et al.  Testing for unit roots in autoregressive-moving average models of unknown order , 1984 .

[13]  Charles I. Jones,et al.  Time Series Tests of Endogenous Growth Models , 1995 .

[14]  H. White.  Asymptotic theory for econometricians , 1985 .

[15]  P. Robinson.  Log-Periodogram Regression of Time Series with Long Range Dependence , 1995 .

[16]  James D. Hamilton.  Time Series Analysis , 1994 .

[17]  J. Davidson.  Stochastic Limit Theory , 1994 .

[18]  Domenico Marinucci,et al.  Alternative forms of fractional Brownian motion , 1998 .

[19]  Ignacio N. Lobato,et al.  OPTIMAL FRACTIONAL DICKEY-FULLER TESTS FOR UNIT ROOTS , 2002 .

[20]  C. Velasco,et al.  Non-stationary log-periodogram regression , 1999 .

[21]  P. Zaffaroni,et al.  Fractional) Beta Convergence , 2000 .

[22]  Katsuto Tanaka,et al.  THE NONSTATIONARY FRACTIONAL UNIT ROOT , 1999, Econometric Theory.

[23]  K. West,et al.  Asymptotic normality, when regressors have a unit root , 1988 .

[24]  J. Dolado,et al.  A Fractional Dickey–Fuller Test for Unit Roots , 2002 .

[25]  ASYMPTOTICS OF NONSTATIONARY FRACTIONAL INTEGRATED SERIES , 1998, Econometric Theory.

[26]  P. Robinson.  Efficient Tests of Nonstationary Hypotheses , 1994 .

[27]  Richard T. Baillie,et al.  Long memory processes and fractional integration in econometrics , 1996 .

[28]  J. Breitung,et al.  Inference on the cointegration rank in fractionally integrated processes , 2002 .