ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
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Publication:4449532
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Cites work
- scientific article; zbMATH DE number 3860263 (Why is no real title available?)
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- Alternative forms of fractional Brownian motion
- An approximation of partial sums of independent RV'-s, and the sample DF. I
- An approximation of partial sums of independent RV's, and the sample DF. II
- Asymptotics for linear processes
- Asymptotics for moving average processes with dependent innovations
- Efficient parameter estimation for self-similar processes
- Fractional ARIMA with stable innovations
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional differencing
- Inference for unstable long-memory processes with applications to fractional unit root autoregressions
- Inference in Linear Time Series Models with some Unit Roots
- Large-sample inference for nonparametric regression with dependent errors
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Local Convergence of Martingales and the Law of Large Numbers
- Long memory processes and fractional integration in econometrics
- Noncentral limit theorems and Appell polynomials
- On Convergence to Semi-Stable Gaussian Processes
- On the invertibility of fractionally differenced ARIMA processes
- On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes
- THE INVARIANCE PRINCIPLE FOR LINEAR PROCESSES WITH APPLICATIONS
- Testing for a unit root in the presence of moving average errors
- Testing for unit roots in autoregressive-moving average models of unknown order
- The Fractional Unit Root Distribution
- The Invariance Principle for Stationary Processes
- The central limit theorem for time series regression
- The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes
- Time Series Regression with a Unit Root
- Weak convergence of multivariate fractional processes
- Weak convergence to fractional brownian motion and to the rosenblatt process
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
- Asymptotic theory for zero energy functionals with nonparametric regression applications
- Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models
- Inference on a structural break in trend with fractionally integrated errors
- Model checks for nonlinear cointegrating regression
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- 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
- Residual empirical processes for long and short memory time series
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations
- Estimating a common break point in means for long-range dependent panel data
- Robust testing of time trend and mean with unknown integration order errors
- Convergence of averages of scaled functions of I(1) linear processes
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
- New robust inference for predictive regressions
- LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
- Asymptotic inference results for multivariate long‐memory processes
- Weak convergence in the near unit root setting
- UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
- Invariance principles for fractionally integrated nonlinear processes
- Common breaks in means for panel data under short-range dependence
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