Fractional Integration and the Augmented Dickey-Fuller Test

Authors:	Krämer, Walter
Title:	Fractional Integration and the Augmented Dickey-Fuller Test
Language (ISO):	en
Abstract:	This note shows that the Augmented Dickey-Fuller test is consistent against fractional alternatives if the order of the autoregression does not tend to infinity too fast.
Subject Headings:	Dickey-Fuller Test fractional alternatives
URI:	http://hdl.handle.net/2003/4815 http://dx.doi.org/10.17877/DE290R-2767
Issue Date:	1997
Provenance:	Universitätsbibliothek Dortmund
Appears in Collections:	Sonderforschungsbereich (SFB) 475

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