Efficient Wald Tests for Fractional Unit Roots
提出高效Wald检验，用于检验单位根原假设对分数单位根备择假设，在局部备择框架下与最优Robinson拉格朗日乘子检验渐近等价，并给出避免非线性回归估计的两步法。
In this article we introduce efficient Wald tests for testing the null hypothesis of the unit root against the alternative of the fractional unit root. In a local alternative framework, the proposed tests are locally asymptotically equivalent to the optimal Robinson Lagrange multiplier tests. Our results contrast with the tests for fractional unit roots, introduced by Dolado, Gonzalo, and Mayoral, which are inefficient. In the presence of short range serial correlation, we propose a simple and efficient two-step test that avoids the estimation of a nonlinear regression model. In addition, the first-order asymptotic properties of the proposed tests are not affected by the preestimation of short or long memory parameters.