We consider a new bootstrap approach to test for a unit root in fractionally integrated time series. We find that this test always improves the power of the Augmented Dickey-Fuller test. © 2002 Elsevier Science B.V. All rights reserved.
On the power of the Augmented Dickey-Fuller test against fractional alternatives using bootstrap
BISAGLIA, LUISA;
2002
Abstract
We consider a new bootstrap approach to test for a unit root in fractionally integrated time series. We find that this test always improves the power of the Augmented Dickey-Fuller test. © 2002 Elsevier Science B.V. All rights reserved.
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