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A necessary moment condition for the fractional functional central limit theorem

Author

Listed:
  • Søren Johansen

    (University of Copenhagen and CREATES)

  • Morten Ørregaard Nielsen

    (Queen?s University and CREATES)

Abstract

We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x_{t}=Delta^{-d}u_{t}, where d in (-1/2,1/2) is the fractional integration parameter and u_{t} is weakly dependent. The classical condition is existence of q>max(2,(d+1/2)^{-1}) moments of the innovation sequence. When d is close to -1/2 this moment condition is very strong. Our main result is to show that under some relatively weak conditions on u_{t}, the existence of q=max(2,(d+1/2)^{-1}) is in fact necessary for the FCLT for fractionally integrated processes and that q>max(2,(d+1/2)^{-1}) moments are necessary and sufficient for more general fractional processes. Davidson and de Jong (2000) presented a fractional FCLT where only q>2 finite moments are assumed, which is remarkable because it is the only FCLT where the moment condition has been weakened relative to the earlier condition. As a corollary to our main theorem we show that their moment condition is not sufficient.

Suggested Citation

  • Søren Johansen & Morten Ørregaard Nielsen, 2010. "A necessary moment condition for the fractional functional central limit theorem," CREATES Research Papers 2010-70, Department of Economics and Business Economics, Aarhus University.
  • Handle: RePEc:aah:create:2010-70
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    References listed on IDEAS

    as
    1. de Jong, Robert M. & Davidson, James, 2000. "The Functional Central Limit Theorem And Weak Convergence To Stochastic Integrals I," Econometric Theory, Cambridge University Press, vol. 16(5), pages 621-642, October.
    2. Marinucci, D. & Robinson, P. M., 2000. "Weak convergence of multivariate fractional processes," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 103-120, March.
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    Cited by:

    1. Søren Johansen & Morten Ørregaard Nielsen, 2019. "Nonstationary Cointegration in the Fractionally Cointegrated VAR Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(4), pages 519-543, July.
    2. Søren Johansen & Morten Ørregaard Nielsen, 2018. "Testing the CVAR in the Fractional CVAR Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 836-849, November.
    3. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    4. Morten Ørregaard Nielsen, 2015. "Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 154-188, March.
    5. Man Wang & Ngai Hang Chan, 2016. "Testing for the Equality of Integration Orders of Multiple Series," Econometrics, MDPI, vol. 4(4), pages 1-10, December.

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    More about this item

    Keywords

    Fractional integration; functional central limit theorem; long memory; moment condition; necessary condition.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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