Dolado Juan J.; Jesus, Gonzalo; Laura, Mayoral - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 4, pp. 1-35
This paper analyses the behaviour of a Wald-type test, i.e., the (Efficient) Fractional Dickey-Fuller (EFDF) test of I(1) against I(d), d1, relative to LM tests. Further, it extends the implementation of the EFDF test to the presence of deterministic trending components in the DGP. Tests of...