Dolado, Juan J.; Gonzalo, Jesús; Mayoral, Laura - Department of Economics and Business, Universitat … - 2005
This paper discusses the role of deterministic components in the DGP and in the auxiliary regression model which underlies the implementation of the Fractional Dickey-Fuller (FDF) test for I(1) against I(d) processes with d € [0, 1). This is an important test in many economic applications...