On the properties of the Dickey-Pantula test against fractional alternatives
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference8 articles.
1. Determining the order of differencing in autoregressive processes;Dickey;Journal of Business and Economic Statistics,1987
2. On the power of Dickey-Fuller tests against fractional alternatives;Diebold;Economics Letters,1991
3. Semiparametric tests for double unit roots;Haldrup;Journal of Business and Economic Statistics,1994
4. On the power of unit root tests against fractional alternatives;Hassler;Economics Letters,1994
5. Estimation of autoregressive processes with unit roots;Hasza;Annals of Statistics,1979
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