ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
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Publication:4449532
DOI10.1017/S0266466603191062zbMATH Open1032.62087OpenAlexW2124060434MaRDI QIDQ4449532FDOQ4449532
Authors: Qiying Wang, Yan-Xia Lin, Chandra M. Gulati 
Publication date: 11 February 2004
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466603191062
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)
Cites Work
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- An approximation of partial sums of independent RV'-s, and the sample DF. I
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- Efficient parameter estimation for self-similar processes
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- The Invariance Principle for Stationary Processes
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- Alternative forms of fractional Brownian motion
- Weak convergence of multivariate fractional processes
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- Long memory processes and fractional integration in econometrics
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
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- The Fractional Unit Root Distribution
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- Large-sample inference for nonparametric regression with dependent errors
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- THE INVARIANCE PRINCIPLE FOR LINEAR PROCESSES WITH APPLICATIONS
- Asymptotics for moving average processes with dependent innovations
- Testing for a unit root in the presence of moving average errors
Cited In (33)
- Asymptotic Distribution of a Unit Root Process Under Double Truncation
- Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
- The Phillips unit root tests for polynomials of integrated processes revisited
- A fixed-\(b\) test for a break in level at an unknown time under fractional integration
- Asymptotic theory for near integrated processes driven by tempered linear processes
- Fractionally differenced Gegenbauer processes with long memory: a review
- A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
- Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence
- Nonlinear regressions with nonstationary time series
- Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models
- Asymptotic theory for zero energy functionals with nonparametric regression applications
- Inference on a structural break in trend with fractionally integrated errors
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- Model checks for nonlinear cointegrating regression
- A simple test of changes in mean in the possible presence of long-range dependence
- Nonlinear cointegrating power function regression with endogeneity
- Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes
- Regulated fractionally integrated processes
- Estimation of a level shift in panel data with fractionally integrated errors
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- Residual empirical processes for long and short memory time series
- Estimating a common break point in means for long-range dependent panel data
- The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations
- Robust testing of time trend and mean with unknown integration order errors
- Convergence of averages of scaled functions of I(1) linear processes
- New robust inference for predictive regressions
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
- LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
- Asymptotic inference results for multivariate long‐memory processes
- UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
- Weak convergence in the near unit root setting
- Invariance principles for fractionally integrated nonlinear processes
- Common breaks in means for panel data under short-range dependence
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