Faculty of Economics and Business Administration Publications Database

On the Power of Unit Root Tests Against Fractional Alternatives

Wolters, Jürgen
Volume: 45
Number: 1
Pages: 1 - 5
Month: 5
ISSN-Print: 0165-1765
Year: 1994
Abstract: We investigate the probability of rejecting the I(1) hypothesis when unitroottests are applied to fractionally integrated time series. Especially the augmented Dickey-Fuller test performs poorly. Our analytical arguments are supported by Monte Carlo experiments.