Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses

Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses

This paper considers testing procedures for the null hypothesis of a unit root process against the alternative of a fractional process, called a fractional unit root test. We extend the Lagrange Multiplier (LM) tests of Robinson (1994) and Tanaka (1999), which are locally best invariant and uniforml...

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Bibliographic Details
Main Authors: Seong Yeon Chang, Pierre Perron
Format: Article
Language:English
Published: MDPI AG 2017-01-01
Series:Econometrics
Subjects:
hypothesis testing
LM test
slope change
spurious break
trend function
Online Access:http://www.mdpi.com/2225-1146/5/1/5

Internet

http://www.mdpi.com/2225-1146/5/1/5

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