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ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS

Published online by Cambridge University Press:  08 January 2003

Qiying Wang ,
Yan-Xia Lin  and
Chandra M. Gulati
Qiying Wang
Affiliation:
Australian National University and University of Wollongong
Yan-Xia Lin
Affiliation:
University of Wollongong
Chandra M. Gulati
Affiliation:
University of Wollongong
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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.The authors thank three referees and an associate editor for their detailed reading of this paper and valuable comments, which have led to this much improved version of the paper.

Type
Research Article
Information
Econometric Theory , Volume 19 , Issue 1 , February 2003 , pp. 143 - 164
Copyright
© 2003 Cambridge University Press

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