Estimation and inference in the presence of fractional d=1/2 and weakly nonstationary processes
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 processe...
| Main Authors: | , |
|---|---|
| Format: | Working paper |
| Language: | English |
| Published: |
arXiv
2020
|