摘要
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.
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.
基金
supported by National Social Science Foundation of China (Grant No.07CTJ001)
National Research Project for Statistics (Grant No. 2009LY056)
National Natural Science Foundation of China (Grant Nos. 10901136, 71072113)
关键词
不变原理
进程
创新
单位根检验
过程集成
非负整数
部分和
分数
near-epoch dependence, strong near-epoch dependence, invariance principle, fractionally integrated processes
