The distance between rival nonstationary fractional processes
نویسندگان
چکیده
منابع مشابه
The Distance Between Rival Nonstationary Fractional Processes
Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the mean squared error of the difference between (possibly tapered) discrete Fourier transforms under the two regimes. We apply the results to deduce limit theory for estimates of ...
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∗Preliminary Comments are welcome. Paper written for the Handbook of Financial Econometrics edited by Yacine Aı̈t-Sahalia and Lars Peter Hansen. We thank Darrell Duffie, Benoit Perron and Mark Watson for discussions and Seoyeon Lee for research assistance. Bandi acknowledges financial support from the IBM Corporation Faculty Research Fund at the University of Chicago. Phillips thanks fhe NSF for...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2005
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2004.08.015