ON THE POWER OF UNIT-ROOT TESTS AGAINST FRACTIONAL ALTERNATIVES

被引：183

作者：

HASSLER, U ^{[1
]}

WOLTERS, J ^{[1
]}

机构：

[1] FREE UNIV BERLIN,INST STAT & ECONOMETR,BOLTZMANNSTR 20,W-1000 BERLIN 33,GERMANY

来源：

ECONOMICS LETTERS | 1994年 / 45卷 / 01期

关键词：

D O I：

10.1016/0165-1765(94)90049-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the probability of rejecting the I(1) hypothesis when unit root tests are applied to fractionally integrated time series. Especially the augmented Dickey-Fuller test performs poorly. Our analytical arguments are supported by Monte Carlo experiments.

引用

页码：1 / 5

页数：5

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