The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations

被引：0
作者：
Jin Qiu
ZhengYan Lin
机构：
[1] Zhejiang University of Finance and Economics,School of Mathematics and Statistics
[2] Zhejiang University,Department of Mathematics
来源：
Science China Mathematics | 2011年 / 54卷
关键词：
near-epoch dependence; strong near-epoch dependence; invariance principle; fractionally integrated processes; 60F05; 60F17;
D O I：
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中图分类号：
学科分类号：
摘要：
In this paper, we show the invariance principle for the partial sum processes of fractionally integrated processes, otherwise known as I(d + m) processes, where |d| < 1/2 and m is a nonnegative integer, with strong near-epoch dependent innovations. The results are applied to the test of unit root. The conditions given improve previous results in the literature concerning fractionally integrated processes.
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页码：117 / 132
页数：15
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