On the Power of Dickey-Fuller Tests against Fractional Alternatives
FRANCIS X. DIEBOLD, GLENN D. RUDEBUSCH
Abstract
Macroeconomics; Time-series analysis
Topics & Concepts
MathematicsEconometricsStatisticsPower (physics)PhysicsThermodynamicsStatistical Distribution Estimation and ApplicationsMonetary Policy and Economic ImpactFinancial Risk and Volatility Modeling