JSM 2003 Online Program

Abstract #300768

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Activity Number:	123
Type:	Contributed
Date/Time:	Monday, August 4, 2003 : 10:30 AM to 12:20 PM
Sponsor:	Business & Economics Statistics Section
Abstract - #300768
Title:	Optimal Fractional Dickey-Fuller Tests for Unit Roots
Author(s):	Ignacio Lobato*+
Companies:	Instituto Tecnologico Autonomo De Mexico
Address:	Av. Camino Sta. Teresa 930, Mexico City, , 10700, Mexico
Keywords:	long memory ; bootstrap
Abstract:	This article considers the fractional Dickey-Fuller test for unit roots introduced recently by Dolado, Gonzalo and Mayoral (2002). The implementation of this test depends on a nuisance parameter that affects the power of the test. Since the arbitrary selection proposed by these authors is not optimal, in this article we investigate optimality aspects of the class of tests indexed by this parameter and propose feasible tests with good asymptotic and finite sample properties.

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