Fractional Dickey-Fuller test with or without prehistorical influence

Recently the generalization of the standard Dickey-Fuller test to the fractional case has been proposed. The proposed test, called fractional Dickey-Fuller test can be applied to sample generated from a type I or a type II fractional process. Depending on whether the test is applied to sample generated from a type I or type II process, it is referred to as a test with or without prehistoric influence respectively. The main and the first objective of this paper is to study the impact induced by a pre-sample of the finite sample null distribution. In fact, the recently proposed test is built based on a composite null hypothesis rather than a sample one. The second objective is to highlight the theoretical justifications for the choice of the null composite hypothesis. All the theoretical results are illustrated with simulated and real data sets. Furthermore, to facilitate the reproducibility of our simulation data and figures we provide all the necessary supplementary material consisting of EViews programs.

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Publication Details

Journal
Communication in Statistics- Theory and Methods
Published
2025-05-06
DOI
https://doi.org/10.1080/03610926.2025.2488901
Primary Topic
Financial Risk and Volatility Modeling
Type
article
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article

Fractional Dickey-Fuller test with or without prehistorical influence

Ahmed Bensalma
Communication in Statistics- Theory and Methods
Financial Risk and Volatility Modeling
article

Fractional Dickey-Fuller test with or without prehistorical influence

Ahmed Bensalma
article en

Abstract

Recently the generalization of the standard Dickey-Fuller test to the fractional case has been proposed. The proposed test, called fractional Dickey-Fuller test can be applied to sample generated from a type I or a type II fractional process. Depending on whether the test is applied to sample generated from a type I or type II process, it is referred to as a test with or without prehistoric influence respectively. The main and the first objective of this paper is to study the impact induced by a pre-sample of the finite sample null distribution. In fact, the recently proposed test is built based on a composite null hypothesis rather than a sample one. The second objective is to highlight the theoretical justifications for the choice of the null composite hypothesis. All the theoretical results are illustrated with simulated and real data sets. Furthermore, to facilitate the reproducibility of our simulation data and figures we provide all the necessary supplementary material consisting of EViews programs.

Communication in Statistics- Theory and MethodsVol. 54(14)
National Higher School of Statistics and Applied Economy (DZ)
Openalex Percentile: Top 100%
Financial Risk and Volatility Modeling
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Fractional Dickey-Fuller test with or without prehistorical influence — Ahmed Bensalma · Communication in Statistics- Theory and Methods (2025) | TGRS Research Map | TGRS