Location of Repository

Unit root testing for functional of linear processes

By Wei Biao Wu

Abstract

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
OAI identifier: oai:CiteSeerX.psu:10.1.1.418.75
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://www.stat.uchicago.edu/~... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.