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Functional limit theorem for fractional processes (a)

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  • Gourieroux Christian
  • Akonom, J.

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Suggested Citation

  • Gourieroux Christian & Akonom, J., 1988. "Functional limit theorem for fractional processes (a)," CEPREMAP Working Papers (Couverture Orange) 8801, CEPREMAP.
    • Handle: RePEc:cpm:cepmap:8801
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    File URL: http://www.cepremap.fr/depot/couv_orange/co8801.pdf
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    References listed on IDEAS

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    1. Robert Engle & Clive Granger, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    2. P. C. B. Phillips & S. N. Durlauf, 1986. "Multiple Time Series Regression with Integrated Processes," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 473-495.
    3. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-228, August.
    4. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
    5. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    6. G. J. Janacek, 1982. "Determining The Degree Of Differencing For Time Series Via The Log Spectrum," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(3), pages 177-183, May.
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    Cited by:

    1. Francesc Marmol & Juan J. Dolado, 1999. "Asymptotic Inference for Nonstationary Fractionally Integrated Processes," Computing in Economics and Finance 1999 513, Society for Computational Economics.
    2. Marmol, Francesc, 1998. "Spurious regression theory with nonstationary fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 84(2), pages 233-250, June.
    3. Marmol, Francesc, 1996. "Correlation theory of spuriously related higher order integrated processes," Economics Letters, Elsevier, vol. 50(2), pages 169-173, February.

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