Distributions of Quadratic Functionals of the Fractional Brownian Motion Based on a Martingale Approximation
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References listed on IDEAS
- Nabeya, Seiji & Tanaka, Katsuto, 1990. "A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors," Econometrica, Econometric Society, vol. 58(1), pages 145-163, January.
- Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-22 (All new papers)
- NEP-ECM-2011-08-22 (Econometrics)
- NEP-ETS-2011-08-22 (Econometric Time Series)
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