The nonstationary fractional unit root

Econometric Theory

Volumn 15, Issue 4, 1999, Pages 549-582

  Tanaka, Katsuto ^a  

^a HITOTSUBASHI UNIVERSITY   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033418876     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466699154045     Document Type: Article

References (20)

1. Andersen, T.W. (1971) The Statistical Analysis of Time Series. New York: Wiley.
2. Beran, J. (1994) Statistics for Long-Memory Processes. New York: Chapman and Hall.
3. Box, G.E.P. & D.A. Pierce (1970) Distribution of residual autocorrelations in autoregressive-integrated moving average time series models. Journal of the American Statistical Association 65, 1509-1526.
4. Brown, B.M. (1971) Martingale central limit theorems. Annals of Mathematical Statistics 42, 59-66.
5. Chan, N.H. & N. Terrin (1995) Inference for unstable long-memory processes with applications to fractional unit root autoregressions. Annals of Statistics 23, 1662-1683.
6. Chan, N.H. & C.Z. Wei (1988) Limiting distributions of least squares estimates of unstable auto-regressive processes. Annals of Statistics 16, 367-401.
7. Chung, C.-F. (1996) Estimating a generalized long memory process. Journal of Econometrics 73, 237-259.
8. Diebold, F.X. & G.D. Rudebusch (1991) On the power of Dickey-Fuller tests against fractional alternatives. Economics Letters 35, 155-160.
9. Elliott, G., T.J. Rothenberg, & J.H. Stock (1996) Efficient tests for an autoregressive unit root. Econometrica 64, 813-836.
10. Hannan, E.J. & C.C. Heyde (1972) On limit theorems for quadratic functions of discrete time series. Annals of Mathematical Statistics 43, 2058-2066.
11. Hosking, J.R.M. (1981) Fractional differencing. Biometrika 68, 165-176.
12. Hosoya, Y. (1997) A limit theory for long-range dependence and statistical inference on related models. Annals of Statistics 25, 105-137.
13. Jeganathan, P. (1996). On asymptotic inference in cointegrated time series with fractionally integrated errors. Preprint, University of Michigan, Ann Arbor.
14. Phillips, P.C.B. & V. Solo (1992) Asymptotics for linear processes. Annals of Statistics 20, 971-1001.
15. Robinson, P.M. (1994) Efficient tests of nonstationaiy hypotheses. Journal of the American Statistical Association 89, 1420-1437.
16. Sargan, J.D. & A. Bhargava (1983) Maximum likelihood estimation of regression models with first order moving average errors when the root lies on the unit circle. Econometrica 51, 799-820.
17. Sowell, F. (1990) The fractional unit root distribution. Econometrica 58, 495-505.
18. Tanaka, K. (1996) Time Series Analysis: Nonstationary and Noninvertible Distribution Theory. New York: Wiley.
19. Walker, A.M. (1964) Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series. Journal of the Australian Mathematical Society 4, 363-384.
20. Zygmund, A. (1968) Trigonometric Series, vol. I. Cambridge: Cambridge University Press.