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
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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