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

Qiying Wang, Lin, Yan-Xia and Chandra M. Gulati

Econometric Theory, 2003, vol. 19, issue 01, pages 143-164

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.

Date: 2003
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