A ug 2 00 6 Invariance principles for fractionally integrated nonlinear processes
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چکیده
Invariance principles (or functional central limit theorems) play an important role in econometrics and statistics. For example, to obtain asymptotic distributions of unit-root test statistics, researchers have applied invariance principles of various forms; see Phillips (1987), Sowell (1990) and Wu (2006) among others. The primary goal of the paper is to establish invariance principles for a class of fractionally integrated nonlinear processes. Let the process
منابع مشابه
Invariance principles for fractionally integrated nonlinear processes
Invariance principles (or functional central limit theorems) play an important role in econometrics and statistics. For example, to obtain asymptotic distributions of unit-root test statistics, researchers have applied invariance principles of various forms; see [24, 30, 40] among others. The primary goal of this paper is to establish invariance principles for a class of fractionally integrated...
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تاریخ انتشار 2006