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Asymptotics Of Nonstationary Fractional Integrated Series

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  • Liu, Ming
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    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).

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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 14 (1998)
    Issue (Month): 05 (October)
    Pages: 641-662

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    Handle: RePEc:cup:etheor:v:14:y:1998:i:05:p:641-662_14

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    Cited by:
    1. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is what?: A simple time-domain test of long-memory vs. structural breaks," Economics Working Papers 954, Department of Economics and Business, Universitat Pompeu Fabra.
    2. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "Testing I(1) against I(d) alternatives in the presence of deteministic components," Economics Working Papers 957, Department of Economics and Business, Universitat Pompeu Fabra.
    3. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra.
    4. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314, HAL.
    5. Vanessa Berenguer Rico & Jesus Gonzalo, 2011. "Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes," Economics Working Papers we1115, Universidad Carlos III, Departamento de Economía.
    6. Chang Sik Kim & Peter C.B. Phillips, 2006. "Log Periodogram Regression: The Nonstationary Case," Cowles Foundation Discussion Papers 1587, Cowles Foundation for Research in Economics, Yale University.
    7. Berenguer-Rico, Vanessa & Gonzalo, Jesús, 2014. "Summability of stochastic processes—A generalization of integration for non-linear processes," Journal of Econometrics, Elsevier, vol. 178(P2), pages 331-341.
    8. Laura Mayoral, 2006. "Is the Observed Persistence Spurious? A Test for Fractional Integration versus Short Memory and Structural Breaks," Working Papers 260, Barcelona Graduate School of Economics.

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