Asymptotics for Nonlinear Transformations of Fractionally Integrated Time Series

The asymptotic theory for nonlinear transformations of fractionally integrated time series is developed. By the use of fractional Occupation Times Formula, various nonlinear functions of fractionally integrated series such as ARFIMA time series are studied, and the asymptotic distributions of the sample moments of such functions are obtained and analyzed. The transformations considered in this paper includes a variety of functions such as regular functions, integrable functions and asymptotically homogeneous functions that are often used in practical nonlinear econometric analysis. It is shown that the asymptotic theory of nonlinear transformations of original and normalized fractionally integrated processes is diffent from that of fractionally integrated processes, but is similar to the asymptotic theory of nonlinear transformations of integrated processes.

The asymptotic theory for nonlinear transformations of fractionally integrated time series is developed.By the use of fractional Occupation Times Formula,various nonlinear functions of fractionally integrated series such as ARFIMA time series are studied,and the asymptotic distributions of the sample moments of such functions are obtained and analyzed.The transformations considered in this paper includes a variety of functions such as regular functions,integrable functions and asymptotically homogeneous functions that are often used in practical nonlinear econometric analysis.It is shown that the asymptotic theory of nonlinear transformations of original and normalized fractionally integrated processes is different from that of fractionally integrated processes,but is similar to the asymptotic theory of nonlinear transformations of integrated processes.