The Fractional Unit Root Distribution
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Publication:3349766
DOI10.2307/2938213zbMath0727.62025MaRDI QIDQ3349766
Publication date: 1990
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2938213
functional limit theorems; fractional differencing; misspecification; fractional unit root distribution; order of differencing; ordinary least squares (OLS) estimate; Testing for unit roots
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
60F17: Functional limit theorems; invariance principles
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