Faculty of Economics and Business Administration Publications Database

Sample Autocorrelations of Nonstationary Fractionally Integrated Series

Authors:
Source:
Volume: 38
Number: 1
Pages: 43 - 62
Year: 1997
Abstract:

We derive the asymptotic distribution of the sample autocor-relations of nonstationary fractionally integrated processes of order d. If d?1, the sample autocorrelations approach their probability limit one with a rate equal to the sample size. If d

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