ON THE POWER OF UNIT-ROOT TESTS AGAINST FRACTIONAL ALTERNATIVES

Authors
HASSLER U WOLTERS J
Citation
U. Hassler et J. Wolters, ON THE POWER OF UNIT-ROOT TESTS AGAINST FRACTIONAL ALTERNATIVES, Economics letters, 45(1), 1994, pp. 1-5
Citations number
16
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
45
Issue
1
Year of publication
1994
Pages
1 - 5
Database
ISI
SICI code
0165-1765(1994)45:1<1:OTPOUT>2.0.ZU;2-M
Abstract
We investigate the probability of rejecting the I(1) hypothesis when u nit root tests are applied to fractionally integrated time series. Esp ecially the augmented Dickey-Fuller test performs poorly. Our analytic al arguments are supported by Monte Carlo experiments.