Long-memory property of nonlinear transformations of break processes

DOI10.1016/j.econlet.2004.12.013zbMath1254.91689OpenAlexW2005139141MaRDI QIDQ1927845

Gawon Yoon

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.12.013

zbMATH Keywords

nonlinearityfractional integrationoccasional structural breakslong-memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (2)

Estimation of fractional integration in the presence of data noise ⋮ Structural breaks in time series

Cites Work

• Some generalizations on the algebra of I(1) processes
• A simple nonlinear time series model with misleading linear properties
• Long memory and stochastic trend.
• Properties of nonlinear transformations of fractionally integrated processes.
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• CLT and other limit theorems for functionals of Gaussian processes
• Convergence of integrated processes of arbitrary Hermite rank
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”
• FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Long memory and regime switching

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