The Fractional Unit Root Distribution
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Publication:3349766
DOI10.2307/2938213zbMath0727.62025OpenAlexW1994777237MaRDI 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 theoremsfractional differencingmisspecificationfractional unit root distributionorder of differencingordinary least squares (OLS) estimateTesting for unit roots
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)
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