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

https://doi.org/10.1214/20-aos1998

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Convergence of Probability Measures

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Probability Theory II

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Weak convergence to fractional brownian motion and to the rosenblatt process

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Weighted sums of I.I.D. Random variables attracted to integrals of stable processes

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Limit theorems for sums of linearly generated random variables

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Convergence of certain nonlinear transformations of a Gaussian sequence to self-similar processes

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An introduction to probability theory and its applications

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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting

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Semiparametric inference in multivariate fractionally cointegrated systems

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Predictive regression under various degrees of persistence and robust long-horizon regression

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Nonlinear regressions with nonstationary time series

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Nonparametric predictive regression

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Specification testing for nonlinear multivariate cointegrating regressions

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Kernel estimation for time series: An asymptotic theory

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Weak convergence of multivariate fractional processes

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Alternative forms of fractional Brownian motion

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Regular Variation

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Generic Uniform Convergence

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NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM

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ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION

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WEAK CONVERGENCE OF NONLINEAR TRANSFORMATIONS OF INTEGRATED PROCESSES: THE MULTIVARIATE CASE

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ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS

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A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM

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ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES

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MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION

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ASYMPTOTIC THEORY FOR KERNEL ESTIMATORS UNDER MODERATE DEVIATIONS FROM A UNIT ROOT, WITH AN APPLICATION TO THE ASYMPTOTIC SIZE OF NONPARAMETRIC TESTS

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ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

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THE NONSTATIONARY FRACTIONAL UNIT ROOT

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ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS

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Testing the Predictability of U.S. Housing Price Index Returns Based on an IVX-AR Model

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Long Memory in Inflation Rates: International Evidence

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Towards a Unified Asymptotic Theory for Autoregression

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Semiparametric Frequency Domain Analysis of Fractional Cointegration

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Robust Econometric Inference for Stock Return Predictability

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Nonlinear Regressions with Integrated Time Series

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An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative

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Cointegration in Fractional Systems with Unknown Integration Orders

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Uniform Limit Theory for Stationary Autoregression

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Consistent Testing of Cointegrating Relationships

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Uniform Inference in Autoregressive Models

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Bounds for the Moments of Linear and Quadratic Forms in Independent Variables

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Large Sample Inference for Long Memory Processes

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The Distribution of Realized Exchange Rate Volatility

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Local Whittle estimation in nonstationary and unit root cases

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Exact local Whittle estimation of fractional integration

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Nonparametric estimation in a nonlinear cointegration type model

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Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence

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Convergence of functionals of sums of r.v.s to local times of fractional stable motions

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Specification testing in nonlinear and nonstationary time series autoregression

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Gaussian pseudo-maximum likelihood estimation of fractional time series models

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A specification test for nonlinear nonstationary models

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Nonparametric estimation in null recurrent time series

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Kernel density estimation for linear processes

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Gaussian Semiparametric Estimation of Long Range Dependence

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Log-Periodogram Regression of Time Series with Long Range Dependence

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Asymptotic Inference for Nearly Nonstationary AR(1) Processes

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Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes

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Time Series: Theory and Methods

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Fully Modified Least Squares and Vector Autoregression

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Martingale Limit Theory and its Application.

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Structural Nonparametric Cointegrating Regression

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Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

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