A necessary moment condition for the fractional functional central limit theorem

DOI10.1017/S0266466611000697zbMATH Open1251.60028OpenAlexW3123936563MaRDI QIDQ2890708FDOQ2890708

Søren Johansen, Morten Ørregaard Nielsen

Publication date: 11 June 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466611000697

zbMATH Keywords

fractional functional central limit theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Cites Work

• The Invariance Principle for Stationary Processes
• Weak convergence of multivariate fractional processes
• The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited In (14)

• Title not available (Why is that?)
• Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models
• Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
• Small‐b and Fixed‐b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration
• TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT
• Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
• Wavelet energy ratio unit root tests
• A Generalised Fractional Differencing Bootstrap for Long Memory Processes
• THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS
• Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
• Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
• Monitoring mean and variance change-points in long-memory time series
• Nonstationary fractionally integrated functional time series
• On the behavior of fixed-\(b\) trend break tests under fractional integration

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