On the power of the Augmented Dickey–Fuller test against fractional alternatives using bootstrap
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference12 articles.
1. Bootstrapping unstable first-order autoregressive processes;Basawa;Annals of Statistics,1991
2. Sieve bootstrap for time series;Bühlmann;Bernoulli,1997
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4. An introduction to long-memory time series models and fractional differencing;Granger;Journal of Time Series Analysis,1980
5. Fractional integration and the augmented Dickey–Fuller test;Krämer;Economics Letters,1998
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