ASYMPTOTICS OF NONSTATIONARY FRACTIONAL INTEGRATED SERIES

Ming Liu

Econometric Theory, 1998, vol. 14, issue 05, pages 641-662

Abstract: In this paper, we study the asymptotics of nonstationary fractional integrated time series, the long memory time series with d , with special attention focused on the cases when d = (2p + 1)/2 for integer n no less than 0. There is considerable empirical evidence showing long memory of this magnitude in many economic time series including the inflation rate and the stock market volatility. A study of the large-sample property is therefore both needed and useful. Also, we found the asymptotics of nonstationary fractional integrated time series useful in the study of the large-sample theory of the Kwiatkowski Phillips Schmidt Shin test (1992, Journal of Econometrics 54, 159 178).

Date: 1998
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