Testing I(1) against I(d) alternatives in the presence of deteministic components
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- dc.contributor.author Dolado, Juan J.
- dc.contributor.author Gonzalo, Jesús
- dc.contributor.author Mayoral, Laura
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2020-05-25T09:26:50Z
- dc.date.available 2020-05-25T09:26:50Z
- dc.date.issued 2005-02-01
- dc.date.modified 2020-05-25T09:21:23Z
- dc.description.abstract 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 are mean-reverting although, when 0.5 = d < 1, like I(1) processes, they are nonstationary. We show how simple is the implementation of the FDF in these situations, and argue that it has better properties than LM tests. A simple testing strategy entailing only asymptotically normally distributed tests is also proposed. Finally, an empirical application is provided where the FDF test allowing for deterministic components is used to test for long-memory in the per capita GDP of several OECD countries, an issue that has important consequences to discriminate between growth theories, and on which there is some controversy.
- dc.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=957
- dc.identifier.uri http://hdl.handle.net/10230/403
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 957
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword deterministic components
- dc.subject.keyword dickey-fuller test
- dc.subject.keyword fractionally dickey-fuller test
- dc.subject.keyword fractional processes
- dc.subject.keyword long memory
- dc.subject.keyword trends
- dc.subject.keyword unit roots
- dc.subject.keyword Operations Management
- dc.title Testing I(1) against I(d) alternatives in the presence of deteministic components
- dc.type info:eu-repo/semantics/workingPaper