We thank a co-editor and two referees for very useful comments, J. Arteche, M. Avarucci, M. Delgado, J. Dolado, L. Gil-Alaña, J. Gonzalo, J. Hidalgo, L. Mayoral, P. Perron, W. Ploberger, and P. Robinson for useful conversations, and seminar participants at the London School of Economics and at the 2005 Econometric Society World Congress. This research was financed by the Spanish Ministerio de Educación y Ciencia (SEJ2004-04583/ECON). Part of this research was carried out while Lobato was visiting Universidad Carlos III de Madrid thanks to the Spanish Secretaría de Estado de Universidades e Investigación (SAB2004-0034). Lobato acknowledges financial support from Asociación Mexicana de Cultura and from the Mexican Consejo Nacional de Ciencia y Tecnología (CONACYT) under project grant 41893-S.
Efficient Wald Tests for Fractional Unit Roots
Version of Record online: 28 FEB 2007
Volume 75, Issue 2, pages 575–589, March 2007
How to Cite
Lobato, I. N. and Velasco, C. (2007), Efficient Wald Tests for Fractional Unit Roots. Econometrica, 75: 575–589. doi: 10.1111/j.1468-0262.2006.00758.x
- Issue online: 28 FEB 2007
- Version of Record online: 28 FEB 2007
- Manuscript received May, 2005; final revision received October, 2006.
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