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Critical values for the augmented efficient Wald test for fractional unit roots

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Abstract

This paper presents response surface estimates of finite sample critical values of the Efficient Wald test for Fractional Unit Roots of Lobato and Velasco (Econometrica 75:575–590, 2007) in the presence of deterministic components. Lag-adjusted critical values of the augmented versions of the tests illustrate that as in the context of traditional unit root and stationarity tests, incorporating adjustments for serial correlation affects the finite sample distributions of the test statistics.

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Authors and Affiliations

  1. School of Business, Queen’s University, Kingston, ON, K7L 3N6, Canada

    Peter S. Sephton

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  1. Peter S. Sephton
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Correspondence to Peter S. Sephton.

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Sephton, P.S. Critical values for the augmented efficient Wald test for fractional unit roots. Empir Econ 37, 615–626 (2009). https://doi.org/10.1007/s00181-008-0249-3

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  • DOI: https://doi.org/10.1007/s00181-008-0249-3

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