ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS

By Qiying Wang, Yang Lin, C. Gulati. Econometric Theory, 2003

61 citations recorded by the source corpus.

Subfields: Applied Mathematics, Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/fdd6b37de53ce99b1ef3493b165fd928b9ae8b0b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Applied Mathematics

1. Xiaofeng Shao
2. Peter C. B. Phillips

In Finance

1. Qiying Wang
2. Xiaofeng Shao
3. Peter C. B. Phillips
4. Jun Yu
5. Yixiao Sun
6. Xianyang Zhang
7. Martin Wagner
8. Tassos Magdalinos

In Modeling and Simulation

1. Xiaofeng Shao

Citations in the corpus

• ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS (2010, background): “Throughout the section we denote constants by C,C1, . . . , which may differ at each appearance.”
• A simple test of changes in mean in the possible presence of long‐range dependence (2011, methodology): “The commonly used long memory time-series models, such as fractional Gaussian noise and FARIMA models (Beran, 1994), satisfy Assumption 1 under mild regularity conditions; see Davydov (1970) and Wang et al. (2003).”