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The Methodology and Practice of EconometricsA Festschrift in Honour of David F. Hendry$
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Jennifer Castle and Neil Shephard

Print publication date: 2009

Print ISBN-13: 9780199237197

Published to Oxford Scholarship Online: September 2009

DOI: 10.1093/acprof:oso/9780199237197.001.0001

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Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results *

Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results *

Chapter:
(p.300) 12 Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results*
Source:
The Methodology and Practice of Econometrics
Author(s):

Juan J. Doladom

Jesus Gonzalo

Laura Mayoral

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199237197.003.0012

This chapter 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 correlation in the error term. Specifically, the chapter argues that the EFDF test has better power properties under fixed alternatives than other available tests for fractional integration, and analyzes how to implement this test when the deterministic components or the long-memory parameter are subject to structural breaks.

Keywords:   fractional processes, deterministic components, power, structural breaks

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