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

Authors:
  • LMLaura Mayoral
    Laura Mayoral
  • JDJuan José Dolado
    Juan José Dolado
  • JGJesús Gonzalo
    Jesús Gonzalo
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  • 1 January 2007
Abstract
This paper analyses the power properties, under fixed alternatives, of a Wald-type test, i.e., the (Efficient) Fractional Dickey-Fuller (EFDF) test of I(1) against I(d), d
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