Chang, Seong Yeon; Perron, Pierre - In: Econometrics : open access journal 5 (2017) 1, pp. 1-26
This paper considers testing procedures for the null hypothesis of a unit root process against the alternative of a fractional process, called a fractional unit root test. We extend the Lagrange Multiplier (LM) tests of Robinson (1994) and Tanaka (1999), which are locally best invariant and...