A test for fractionally integrated time series

Authors

  • Ping Wu

Keywords:

ARFIMA process, unit root, locally best test, Periodgram

Abstract

Recent work by Sowell (1990) and Diebold and Rudebusch (1991a) show that Dickey-Fuller unit root tests can have low power under fractionally integrated alternatives. This paper proposes a locally best test designed particularly to detect such alternatives. The test is based on the asymptotic likelihood function in frequency domain. A Monte Carlo experiment shows that the test is quite powerful, even in small samples.

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Published

1992-01-01

How to Cite

Wu, P. (1992). A test for fractionally integrated time series. School of Management Working Papers, 1–16. Retrieved from https://ojs.victoria.ac.nz/somwp/article/view/7177