dc.contributor.author | Davidson, James | en_GB |
dc.contributor.author | De Jong, Robert M. | en_GB |
dc.contributor.department | Cardiff University (now at University of Exeter); Michigan State University | en_GB |
dc.date.accessioned | 2008-07-16T11:48:39Z | en_GB |
dc.date.accessioned | 2011-01-25T10:25:27Z | en_GB |
dc.date.accessioned | 2013-03-19T15:51:22Z | |
dc.date.issued | 2000-10 | en_GB |
dc.description.abstract | This paper derives a functional central limit theorem for the partial sums of fractionally integrated processes, otherwise known as I(d) processes for |d| < 1/2. Such processes have long memory, and the limit distribution is the so-called fractional Brownian motion, having correlated increments even asymptotically. The underlying shock variables may themselves exhibit quite general weak dependence by being near-epoch-dependent functions of mixing processes. Several weak convergence results for stochastic integrals having fractional integrands and weakly dependent integrators are also obtained. Taken together, these results permit I(p + d) integrands for any integer p [greater-than-or-equal] 1. | en_GB |
dc.identifier.citation | Econometric Theory 16, 5 (2000) 643-666 | en_GB |
dc.identifier.uri | http://hdl.handle.net/10036/32136 | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | Cambridge University Press | en_GB |
dc.relation.url | http://journals.cambridge.org/action/displayJournal?jid=ECT | en_GB |
dc.subject | central limit theorem | en_GB |
dc.subject | stochastic integrals | en_GB |
dc.title | The functional central limit theorem and weak convergence to stochastic integrals II: fractionally integrated processes | en_GB |
dc.type | Article | en_GB |
dc.date.available | 2008-07-16T11:48:39Z | en_GB |
dc.date.available | 2011-01-25T10:25:27Z | en_GB |
dc.date.available | 2013-03-19T15:51:22Z | |
dc.identifier.issn | 0266-4666 | en_GB |
dc.description | Pre-print; verson dated May 1999. Addendum clarifies the proof of Theorem 3.1. | en_GB |
dc.identifier.journal | Econometric Theory | en_GB |