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

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

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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.

dc.contributor.authorWang, Qiying
dc.contributor.authorLin, Yang Xia
dc.contributor.authorGulati, Chandra M
dc.date.accessioned2015-12-13T23:14:08Z
dc.date.available2015-12-13T23:14:08Z
dc.identifier.issn0266-4666
dc.identifier.urihttp://hdl.handle.net/1885/88464
dc.description.abstractIn 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.
dc.publisherCambridge University Press
dc.sourceEconometric Theory
dc.titleAsymptotics for general fractionally integrated processes with applications to unit root tests
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.citationvolume19
dc.date.issued2003
local.identifier.absfor010405 - Statistical Theory
local.identifier.ariespublicationMigratedxPub18158
local.type.statusPublished Version
local.contributor.affiliationWang, Qiying, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationLin, Yang Xia, University of Wollongong
local.contributor.affiliationGulati, Chandra M, University of Wollongong
local.bibliographicCitation.startpage143
local.bibliographicCitation.lastpage164
local.identifier.doi10.1017/S0266466603191062
dc.date.updated2015-12-12T08:37:07Z
local.identifier.scopusID2-s2.0-0037252571
CollectionsANU Research Publications

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