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 process...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2021
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Estimation and inference in the presence of fractional d=1/2 and weakly nonstationary processes
Published 2020
Working paper