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Unit root testing for functional of linear processes

By Wei Biao Wu


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 the classical cases where asymptotic distributions are functionals of Brownian motions+ 1

Year: 2006
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