UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES

DOI10.1017/S0266466606060014zbMath1083.62098MaRDI QIDQ3377434

Wei-Biao Wu

Publication date: 22 March 2006

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)

Related Items (28)

ASYMPTOTIC PROPERTIES OF SELF-NORMALIZED LINEAR PROCESSES WITH LONG MEMORY ⋮ A unified approach to self-normalized block sampling ⋮ Robust estimation in a nonlinear cointegration model ⋮ Non symmetric Rosenblatt process over a compact ⋮ A unit root test for an AR(1) process with AR errors by using random weighted bootstrap ⋮ A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations ⋮ Multifractional Hermite processes: definition and first properties ⋮ A strong convergence to the Rosenblatt process ⋮ On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations ⋮ Variations and Hurst index estimation for a Rosenblatt process using longer filters ⋮ Unnamed Item ⋮ Block sampling under strong dependence ⋮ Continuous mapping approach to the asymptotics of \(U\)- and \(V\)-statistics ⋮ How the instability of ranks under long memory affects large-sample inference ⋮ Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence ⋮ Residual empirical processes for long and short memory time series ⋮ Memory properties of transformations of linear processes ⋮ Analysis of the Rosenblatt process ⋮ Comparing the marginal densities of two strictly stationary linear processes ⋮ Time series modeling on dynamic networks ⋮ Residual empirical processes for nearly unstable long-memory time series ⋮ Approximation of the Rosenblatt process by semimartingales ⋮ Asymptotic behaviour of mild solution of nonlinear stochastic partial functional equations ⋮ A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter ⋮ Berry-Esséen Bounds for Long Memory Moving Averages via Stein's Method and Malliavin Calculus ⋮ Martingale decomposition and approximations for nonlinearly dependent processes ⋮ Testing for a unit root with nonstationary nonlinear heteroskedasticity ⋮ Weak convergence to Rosenblatt sheet

Cites Work

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