THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II

James Davidson () and Robert de Jong

Econometric Theory, 2000, vol. 16, issue 5, 643-666

Abstract: This paper derives a functional central limit theorem for the partial sums of fractionally integrated processes, otherwise known as I(d) processes for |d|

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:16:y:2000:i:05:p:643-666_16

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