UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
نویسندگان
چکیده
منابع مشابه
Unit Root Testing for Functionals of Linear Processes
We consider the unit root testing problem with errors being nonlinear transforms of linear processes. When the linear processes are long-range dependent, the asymptotic distributions in the unit root testing problem are shown to be functionals of Hermite processes. Functional limit theorems for nonlinear transforms of linear processes are established. The obtained results differ sharply from th...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2005
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466606060014