• DocumentCode
    720441
  • Title

    New fractional Dickey Fuller test

  • Author

    Bensalma, Ahmed

  • Author_Institution
    Nat. High Sch. of Stat. & Appl. Econ., Pole Univ. Kolea, Algeria
  • fYear
    2015
  • fDate
    27-29 May 2015
  • Firstpage
    1
  • Lastpage
    6
  • Abstract
    The aim of this paper is motivated by the following question: “If a series were best characterized by fractional process, would a researcher be able to detect that fact by using conventional Dickey-Fuller (1979) test?” To answer this question, in simple framework, we propose a new fractional Dickey-Fuller (F-DF) test, different from the test of Dolado, Gonzalo and Mayoral (2002).
  • Keywords
    statistical testing; time series; Dolado-Gonzalo-Mayoral test; F-DF test; fractional Dickey Fuller test; Data models; Economic indicators; Market research; Production; Standards; Testing; Time series analysis;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Modeling, Simulation, and Applied Optimization (ICMSAO), 2015 6th International Conference on
  • Conference_Location
    Istanbul
  • Type

    conf

  • DOI
    10.1109/ICMSAO.2015.7152263
  • Filename
    7152263
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=720441