In this paper, functional limit theorems for general fractional processes are established under quite weak conditions+ The results are then used to derive weak convergence of general nonstationary fractionally integrated processes and to characterize unit root distribution in a model with error being a fractional autoregressive moving average process or a nonstationary fractionally integrated process+
History
Citation
This article was originally published as Wang, Q, Lin, YX and Gulati, CM, Asymptotics for general fractionally intergrated processes with applications to unit root tests, Econometric Theory, 19, 2003, 143-164. Copyright Cambridge University Press. Original article available here.