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

39 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

Access to Document

10.1017/S0266466603191062

Cite this

@article{5641771cea5646449218da607a04378f,

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.",

author = "Qiying Wang and Lin, \{Yan Xia\} and Gulati, \{Chandra M.\}",

year = "2003",

month = feb,

doi = "10.1017/S0266466603191062",

language = "English",

volume = "19",

pages = "143--164",

journal = "Econometric Theory",

issn = "0266-4666",

publisher = "Cambridge University Press",

number = "1",

}

TY - JOUR

T1 - Asymptotics for general fractionally integrated processes with applications to unit root tests

AU - Wang, Qiying

AU - Lin, Yan Xia

AU - Gulati, Chandra M.

PY - 2003/2

Y1 - 2003/2

N2 - 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.

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.

UR - https://www.scopus.com/pages/publications/0037252571

U2 - 10.1017/S0266466603191062

DO - 10.1017/S0266466603191062

M3 - Article

SN - 0266-4666

VL - 19

SP - 143

EP - 164

JO - Econometric Theory

JF - Econometric Theory

IS - 1

ER -

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

Abstract

Access to Document

Other files and links

Fingerprint

Cite this