The Fractional Unit Root Distribution (Q3349766)

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The Fractional Unit Root Distribution
scientific article

    Statements

    title
    The Fractional Unit Root Distribution (English)
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    author
    Fallaw B. Sowell
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    published in
    Econometrica
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    publication date
    1990
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    zbMATH Keywords
    fractional differencing
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    ordinary least squares (OLS) estimate
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    fractional unit root distribution
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    misspecification
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    order of differencing
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    Testing for unit roots
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    functional limit theorems
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    Identifiers

    DOI
    10.2307/2938213
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    Mathematics Subject Classification ID
    62E20
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    62M10
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    62P20
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    60F17
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    zbMATH DE Number
    4201372
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    OpenAlex ID
    W1994777237
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