Asymptotics for general fractionally integrated processes with applications to unit root tests

Qiying Wang; Yan Xia Lin; Chandra M. Gulati

doi:10.1017/S0266466603191062

Asymptotics for general fractionally integrated processes with applications to unit root tests

Qiying Wang^*, Yan Xia Lin, Chandra M. Gulati

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

32 Citations (Scopus)

Abstract

In this paper, functional limit theorems for general fractional processes are established under quite weak conditions. The results are then used to derive weak convergence of general nonstationary fractionally integrated processes and to characterize unit root distribution in a model with error being a fractional autoregressive moving average process or a nonstationary fractionally integrated process.

Original language	English
Pages (from-to)	143-164
Number of pages	22
Journal	Econometric Theory
Volume	19
Issue number	1
DOIs	https://doi.org/10.1017/S0266466603191062
Publication status	Published - Feb 2003

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title = "Asymptotics for general fractionally integrated processes with applications to unit root tests",

abstract = "In this paper, functional limit theorems for general fractional processes are established under quite weak conditions. The results are then used to derive weak convergence of general nonstationary fractionally integrated processes and to characterize unit root distribution in a model with error being a fractional autoregressive moving average process or a nonstationary fractionally integrated process.",

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AB - In this paper, functional limit theorems for general fractional processes are established under quite weak conditions. The results are then used to derive weak convergence of general nonstationary fractionally integrated processes and to characterize unit root distribution in a model with error being a fractional autoregressive moving average process or a nonstationary fractionally integrated process.

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JO - Econometric Theory

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Asymptotics for general fractionally integrated processes with applications to unit root tests

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