Valderio A. Reisen, DEST-UFES, Brazil; Santander, Luz A. M. - Society for Computational Economics - SCE - 2004
This paper considers the use of the long-memory, semi-parametric estimators to test unit-root and non-cointegrated processes under fractional alternatives. Critical-point values of the proposed tests are given for different sample sizes. The ADF test is used for comparison purposes. The...