Sample autocorrelations of nonstationary fractionally integrated series

DOI10.1007/BF02925214MaRDI QIDQ1370193zbMATH OpenFDO

Authors Uwe Hassler

Publication date 26 October 1997

Published in Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

sample autocorrelationsnonstationary fractionally integrated processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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• The sample autocorrelation function of I(1) processes
• Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence
• Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire
• Higher-order sample autocorrelations and the unit root hypothesis

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS
• Bias in the sample autocorrelations of fractional noise
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional differencing
• Higher-order sample autocorrelations and the unit root hypothesis
• Long-Term Memory in Stock Market Prices
• On estimation of a regression model with long-memory stationary errors
• On the power of unit root tests against fractional alternatives
• PARTIAL AUTOCORRELATION PROPERTIES FOR NON-STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS
• The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process
• The Fractional Unit Root Distribution
• The Invariance Principle for Stationary Processes
• The behaviour of the sample autocorrelation function for an integrated moving average process
• The sample autocorrelation function of I(1) processes
• Time Series Regression with a Unit Root
• Trends versus Random Walks in Time Series Analysis
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited in

(11)

• Spurious persistence in stochastic volatility
• On the origin of high persistence in GARCH-models
• scientific article; zbMATH DE number 4178491 (Why is no real title available?)
• Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence
• Small-sample Autocorrelation Structure for Long-memory Time Series
• Spurious multivariate regressions under fractionally integrated processes
• Estimating autocorrelations in the presence of deterministic trends
• Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire
• THE ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS FOR A MULTIPLE AUTOREGRESSIVE PROCESS WITH ONE UNIT ROOT
• Effect of the order of fractional integration on impulse responses
• Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated

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