Wald tests of I(1) against I(d) alternatives: Some new properties and an extension to processes with trending components

This paper analyses the behaviour of a Wald-type test, i.e., the (Efficient) Fractional Dickey-Fuller (EFDF) test of I(1) against I(d), d<1, relative to LM tests. Further, it extends the implementation of the EFDF test to the presence of deterministic trending components in the DGP. Tests of thes...

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Detalles Bibliográficos
Autores: Dolado, Juan J., Gonzalo, Jesús, Mayoral, Laura
Tipo de recurso: artículo
Fecha de publicación:2008
País:España
Institución:Consejo Superior de Investigaciones Científicas (CSIC)
Repositorio:DIGITAL.CSIC. Repositorio Institucional del CSIC
OAI Identifier:oai:digital.csic.es:10261/58519
Acceso en línea:http://hdl.handle.net/10261/58519
Access Level:acceso abierto
Palabra clave:jel:C12
jel:C22
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spelling Wald tests of I(1) against I(d) alternatives: Some new properties and an extension to processes with trending componentsDolado, Juan J.Gonzalo, JesúsMayoral, Laurajel:C12jel:C22This paper analyses the behaviour of a Wald-type test, i.e., the (Efficient) Fractional Dickey-Fuller (EFDF) test of I(1) against I(d), d<1, relative to LM tests. Further, it extends the implementation of the EFDF test to the presence of deterministic trending components in the DGP. Tests of these hypotheses are important in many macroeconomic applications where it is crucial to distinguish between permanent and transitory shocks because shocks die out in I(d) processes with d<1. We show how simple the implementation of the EFDF in these situations is and argue that, under fixed alternatives, it is preferred to the LM test in Bahadur's sense. Finally, an empirical application is provided where the EFDF approach allowing for deterministic components is used to test for long-memory in the GDP p.c. of several OECD countries, an issue that has important consequences to discriminate between alternative growth theories. © 2008 The Berkeley Electronic Press. All rights reserved.Financial support from the Spanish Ministry of Education through grants SEJ2006-00369, SEJ2004-04101 and SEJ2007-04325 and also from the Barcelona Economics Program of CREA is acknowledged.Peer ReviewedWalter de Gruyter2012201220082012info:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_6501http://hdl.handle.net/10261/58519reponame:DIGITAL.CSIC. Repositorio Institucional del CSICinstname:Consejo Superior de Investigaciones Científicas (CSIC)Inglésinfo:eu-repo/semantics/openAccessoai:digital.csic.es:10261/585192026-05-22T06:33:51Z
dc.title.none.fl_str_mv Wald tests of I(1) against I(d) alternatives: Some new properties and an extension to processes with trending components
title Wald tests of I(1) against I(d) alternatives: Some new properties and an extension to processes with trending components
spellingShingle Wald tests of I(1) against I(d) alternatives: Some new properties and an extension to processes with trending components
Dolado, Juan J.
jel:C12
jel:C22
title_short Wald tests of I(1) against I(d) alternatives: Some new properties and an extension to processes with trending components
title_full Wald tests of I(1) against I(d) alternatives: Some new properties and an extension to processes with trending components
title_fullStr Wald tests of I(1) against I(d) alternatives: Some new properties and an extension to processes with trending components
title_full_unstemmed Wald tests of I(1) against I(d) alternatives: Some new properties and an extension to processes with trending components
title_sort Wald tests of I(1) against I(d) alternatives: Some new properties and an extension to processes with trending components
dc.creator.none.fl_str_mv Dolado, Juan J.
Gonzalo, Jesús
Mayoral, Laura
author Dolado, Juan J.
author_facet Dolado, Juan J.
Gonzalo, Jesús
Mayoral, Laura
author_role author
author2 Gonzalo, Jesús
Mayoral, Laura
author2_role author
author
dc.subject.none.fl_str_mv jel:C12
jel:C22
topic jel:C12
jel:C22
description This paper analyses the behaviour of a Wald-type test, i.e., the (Efficient) Fractional Dickey-Fuller (EFDF) test of I(1) against I(d), d<1, relative to LM tests. Further, it extends the implementation of the EFDF test to the presence of deterministic trending components in the DGP. Tests of these hypotheses are important in many macroeconomic applications where it is crucial to distinguish between permanent and transitory shocks because shocks die out in I(d) processes with d<1. We show how simple the implementation of the EFDF in these situations is and argue that, under fixed alternatives, it is preferred to the LM test in Bahadur's sense. Finally, an empirical application is provided where the EFDF approach allowing for deterministic components is used to test for long-memory in the GDP p.c. of several OECD countries, an issue that has important consequences to discriminate between alternative growth theories. © 2008 The Berkeley Electronic Press. All rights reserved.
publishDate 2008
dc.date.none.fl_str_mv 2008
2012
2012
2012
dc.type.none.fl_str_mv info:eu-repo/semantics/article
http://purl.org/coar/resource_type/c_6501
format article
dc.identifier.none.fl_str_mv http://hdl.handle.net/10261/58519
url http://hdl.handle.net/10261/58519
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Walter de Gruyter
publisher.none.fl_str_mv Walter de Gruyter
dc.source.none.fl_str_mv reponame:DIGITAL.CSIC. Repositorio Institucional del CSIC
instname:Consejo Superior de Investigaciones Científicas (CSIC)
instname_str Consejo Superior de Investigaciones Científicas (CSIC)
reponame_str DIGITAL.CSIC. Repositorio Institucional del CSIC
collection DIGITAL.CSIC. Repositorio Institucional del CSIC
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,811543

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