A necessary moment condition for the fractional functional central limit theorem

DOI10.1017/S0266466611000697MaRDI QIDQ2890708zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

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

Cited in

(14)

• 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
• Nonstationary cointegration in the fractionally cointegrated VAR Model
• Wavelet energy ratio unit root tests
• Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
• Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
• Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
• The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
• On the behavior of fixed-\(b\) trend break tests under fractional integration
• 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
• A generalised fractional differencing bootstrap for long memory processes
• Nonstationary fractionally integrated functional time series
• Monitoring mean and variance change-points in long-memory time series

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