Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5095787 | Journal of Econometrics | 2015 | 21 Pages |
Abstract
This paper proposes a test of the null of integer integration against the alternative of fractional integration. The null of integer integration is satisfied if the series is either I(0) or I(1). We reject the null if the KPSS test rejects I(0) and a unit root test rejects I(1). We suggest a new unit root test (a lower-tail KPSS test applied to the differenced data) to use in this procedure. We provide critical values under standard asymptotics and fixed-b asymptotics. We prove the consistency of this testing procedure against I(d) alternatives with 0
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Cheol-Keun Cho, Christine Amsler, Peter Schmidt,