ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
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Cites work
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- The Invariance Principle for Stationary Processes
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Cited in
(37)- A simple test of changes in mean in the possible presence of long-range dependence
- A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
- Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence
- Fractionally differenced Gegenbauer processes with long memory: a review
- Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
- The Phillips unit root tests for polynomials of integrated processes revisited
- Model checks for nonlinear cointegrating regression
- Inference for unstable long-memory processes with applications to fractional unit root autoregressions
- Estimation of a level shift in panel data with fractionally integrated errors
- Asymptotic theory for near integrated processes driven by tempered linear processes
- Nonlinear regressions with nonstationary time series
- Inference on a structural break in trend with fractionally integrated errors
- A fixed-b test for a break in level at an unknown time under fractional integration
- Asymptotic inference results for multivariate long‐memory processes
- Asymptotic theory for zero energy functionals with nonparametric regression applications
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
- Weak convergence in the near unit root setting
- Asymptotic Distribution of a Unit Root Process Under Double Truncation
- Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models
- Nonlinear cointegrating power function regression with endogeneity
- Robust testing of time trend and mean with unknown integration order errors
- Common breaks in means for panel data under short-range dependence
- Invariance principles for fractionally integrated nonlinear processes
- Regulated fractionally integrated processes
- The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations
- LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- Convergence of averages of scaled functions of I(1) linear processes
- Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
- Estimating a common break point in means for long-range dependent panel data
- New robust inference for predictive regressions
- Limit theorems for stochastic integrals with long memory processes
- Nonlinear cointegrating regressions with nonstationary nonlinear heteroskedasticity
- Fractional Dickey-Fuller test with or without prehistorical influence
- Residual empirical processes for long and short memory time series
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