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 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
97_06.pdf | DNB | 93.28 kB | Adobe PDF | View/Open |
tr06-97.ps | 59.04 kB | Postscript | View/Open |
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This item is protected by original copyright
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