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

DOI10.1017/S0266466603191062zbMath1032.62087OpenAlexW2124060434MaRDI QIDQ4449532

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

Publication date: 11 February 2004

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

Full work available at URL: https://doi.org/10.1017/s0266466603191062

zbMATH Keywords

ARFIMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

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