Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 刘民教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1017/S026646669814505X |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/10WOS source URL
其它资讯
摘要In this paper, we study the asymptotics of nonstationary fractional integrated time series, the long memory time series with d greater than or equal to 1/2,with special attention focused on the cases when d = (2p + 1)/2 for integer n no less than 0. There is considerable empirical evidence showing long memory of this magnitude in many economic time series including the inflation rate and the stock market volatility. A study of the large-sample property is therefore both needed and useful. Also, we found the asymptotics of nonstationary fractional integrated time series useful in the study of the large-sample theory of the Kwiatkowski-Phillips-Schmidt-Shin test (1992, Journal of Econometrics 54, 159-178).
着者Liu M
期刊名称Econometric Theory
出版年份1998
月份http://aims.cuhk.edu.hk/converis/portal/Publication/10
日期1
卷号14
期次5
出版社CAMBRIDGE UNIV PRESS
页次641 - 662
国际标準期刊号0266-4666
电子国际标準期刊号1469-4360
语言英式英语
Web of Science 学科类别Business & Economics; Economics; ECONOMICS; Mathematical Methods In Social Sciences; Mathematics; Mathematics, Interdisciplinary Applications; MATHEMATICS, INTERDISCIPLINARY APPLICATIONS; Social Sciences, Mathematical Methods; SOCIAL SCIENCES, MATHEMATICAL METHODS; Statistics & Probability; STATISTICS & PROBABILITY
