UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
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Publication:3377434
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Cites work
- A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
- ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
- Central limit theorems for non-linear functionals of Gaussian fields
- Conditions for linear processes to be strong-mixing
- Convergence of integrated processes of arbitrary Hermite rank
- Fractional Brownian Motions, Fractional Noises and Applications
- scientific article; zbMATH DE number 3860263 (Why is no real title available?)
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Long memory processes and fractional integration in econometrics
- Long-range dependence and Appell rank
- Non-strong mixing autoregressive processes
- On the Strong Mixing Property for Linear Sequences
- Properties of nonlinear transformations of fractionally integrated processes.
- Some mixing properties of time series models
- The central limit theorem for time series regression
- The Fractional Unit Root Distribution
- The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes
- THE INVARIANCE PRINCIPLE FOR LINEAR PROCESSES WITH APPLICATIONS
- The Invariance Principle for Stationary Processes
- Time Series Regression with a Unit Root
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Zones of attraction of self-similar multiple integrals
Cited in
(39)- Rank tests for unit roots
- Variations and Hurst index estimation for a Rosenblatt process using longer filters
- Comparing the marginal densities of two strictly stationary linear processes
- Time series modeling on dynamic networks
- Martingale decomposition and approximations for nonlinearly dependent processes
- Weak convergence to Rosenblatt sheet
- Block sampling under strong dependence
- Continuous mapping approach to the asymptotics of U- and V-statistics
- Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
- Residual empirical processes for nearly unstable long-memory time series
- A unified approach to self-normalized block sampling
- Asymptotic properties of self-normalized linear processes with long memory
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
- Berry-Esséen bounds for long memory moving averages via Stein's method and Malliavin calculus
- CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
- A strong convergence to the Rosenblatt process
- Some properties of exact tests for unit roots
- scientific article; zbMATH DE number 6951434 (Why is no real title available?)
- Approximation of the Rosenblatt process by semimartingales
- Non symmetric Rosenblatt process over a compact
- Analysis of the rosenblatt process
- Asymptotic behaviour of mild solution of nonlinear stochastic partial functional equations
- A self-normalized semi-parametric test to detect changes in the long memory parameter
- Memory properties of transformations of linear processes
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- Convergence of averages of scaled functions of I(1) linear processes
- A unit root test for an AR(1) process with AR errors by using random weighted bootstrap
- A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations
- Multifractional Hermite processes: definition and first properties
- U-statistics of local sample moments under weak dependence
- On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations
- How the instability of ranks under long memory affects large-sample inference
- Structural stability tests in the linear regression model when the regressors have roots local to unity
- A functional limit theorem for self-normalized partial sum processes in the M₁ topology
- Modified wavelet variation for the Hermite processes
- Approximation of solution to differential systems driven by Rosenblatt process containing noninstantaneous impulses
- Robust estimation in a nonlinear cointegration model
- Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
- Residual empirical processes for long and short memory time series
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