The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations |
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| Authors: | QIU Jin & LIN ZhengYan School of Mathematics Statistics Zhejiang University of Finance Economics Hangzhou China |
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| Institution: | QIU Jin1 & LIN ZhengYan2 1School of Mathematics and Statistics,Zhejiang University of Finance and Economics,Hangzhou 310018,China,2Department of Mathematics,Zhejiang University,Hangzhou 310028 |
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| Abstract: | 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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| Keywords: | near-epoch dependence strong near-epoch dependence invariance principle fractionally integrated processes |
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