Long-memory property of nonlinear transformations of break processes
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- de Jong, Robert & Wang, Chien-Ho, 2005. "Further Results On The Asymptotics For Nonlinear Transformations Of Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 21(02), pages 413-430, April.
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- Peter C.B. Phillips & Joon Y. Park, 1998. "Asymptotics for Nonlinear Transformations of Integrated Time Series," Cowles Foundation Discussion Papers 1182, Cowles Foundation for Research in Economics, Yale University.
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- Engle, Robert F & Smith, Aaron, 1998. "Stochastic Permanent Breaks," University of California at San Diego, Economics Working Paper Series qt99v0s0zx, Department of Economics, UC San Diego.
- Iliyan GEORGIEV, 2002. "Functional Weak Limit Theory for Rare Outlying Events," Economics Working Papers ECO2002/22, European University Institute.
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- Leipus, Remigijus & Viano, Marie-Claude, 2003. "Long memory and stochastic trend," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 177-190, January.
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