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Estimation and inference in the presence of fractional d=1/2 and weakly nonstationary processes

Abstract:

We provide new limit theory for functionals of a general class of processes lying at the boundary between stationarity and nonstationarity – what we term weakly nonstationary processes (WNPs). This includes, as leading examples, fractional processes with d = 1/2, and arrays of autoregressive processes with roots drifting slowly towards unity. We first apply the theory to study inference in parametric and nonparametric regression models involving WNPs as covariates. We then use these results t...

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Publication status:
Accepted
Peer review status:
Peer reviewed

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Publisher copy:
10.1214/20-AOS1998

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Institution:
University of Oxford
Division:
SSD
Sub department:
Economics
Role:
Author
Publisher:
Institute of Mathematical Statistics
Journal:
Annals of Statistics More from this journal
Volume:
49
Issue:
2
Pages:
1195-1217
Publication date:
2021-04-02
Acceptance date:
2020-06-30
DOI:
ISSN:
0090-5364
Language:
English
Keywords:
Pubs id:
1125886
Local pid:
pubs:1125886
Deposit date:
2020-08-14

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