Economics, Econometrics and Finance
8 years ago

New test revolutionizes accuracy of time series analysis predictions!

International Journal of Mathematics in Operational Research
Testing the fractional integration parameter revisited: a fractional Dickey-Fuller test
Ahmed Bensalma

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The researchers found that a previous test for fractional integration is not useful, so they created a new test based on the Dickey-Fuller test. By using different inputs and outputs, they were able to improve the test's accuracy. Their new test performed well in simulations and was applied to real data successfully.