Dolado, Juan Jose; Gonzalo, Jesus; Mayoral, Laura - Departamento de Economía, Universidad Carlos III de Madrid - 2008
This paper presents an overview of some new results regarding an easily implementable Wald test-statistic (EFDF test) of the null hypotheses that a time-series process is I(1) or I(0) against fractional I(d) alternatives, with d?(0,1), allowing for unknown deterministic components and serial...