Wald Tests of I(1) Against I(D) Alternatives: Some New Properties and an Extension to Processes with Trending Components

Authors: Juan J. Dolado, Jesús Gonzalo and Laura Mayoral

Studies in Nonlinear Dynamics and Econometrics, Vol. 12, No 4, Art. Num. 1, January, 2008
DOI: 
This paper originally appeared as Barcelona School of Economics Working Paper 1361