Functional limit theorem for fractional processes (a)
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Bibliographic InfoPaper provided by CEPREMAP in its series CEPREMAP Working Papers (Couverture Orange) with number 8801.
Length: 26 pages
Date of creation: 1988
Date of revision:
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- Marmol, Francesc, 1998. "Spurious regression theory with nonstationary fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 84(2), pages 233-250, June.
- Peter M Robinson, 2004.
"The Distance between Rival Nonstationary Fractional Processes,"
STICERD - Econometrics Paper Series
/2004/468, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Robinson, P.M., 2005. "The distance between rival nonstationary fractional processes," Journal of Econometrics, Elsevier, vol. 128(2), pages 283-300, October.
- Marmol, Francesc, 1996. "Correlation theory of spuriously related higher order integrated processes," Economics Letters, Elsevier, vol. 50(2), pages 169-173, February.
- Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
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