Fractional Integration and the Augmented Dickey-Fuller Test
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Date
1997
Authors
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Journal ISSN
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Publisher
Universitätsbibliothek Dortmund
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.
Description
Table of contents
Keywords
Dickey-Fuller Test, fractional alternatives