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Asymptotics for general fractionally integrated processes with applications to unit root tests

Wang, Qiying; Lin, Yang Xia; Gulati, Chandra M

Description

In this paper, functional limit theorems for general fractional processes are established under quite weak conditions. The results are then used to derive weak convergence of general nonstationary fractionally integrated processes and to characterize unit root distribution in a model with error being a fractional autoregressive moving average process or a nonstationary fractionally integrated process.

CollectionsANU Research Publications
Date published: 2003
Type: Journal article
URI: http://hdl.handle.net/1885/88464
Source: Econometric Theory
DOI: 10.1017/S0266466603191062

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