Abstract
In this paper, we show the invariance principle for the partial sum processes of fractionally integrated processes, otherwise known as I(d + m) processes, where |d| < 1/2 and m is a nonnegative integer, with strong near-epoch dependent innovations. The results are applied to the test of unit root. The conditions given improve previous results in the literature concerning fractionally integrated processes.
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Qiu, J., Lin, Z. The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations. Sci. China Math. 54, 117–132 (2011). https://doi.org/10.1007/s11425-010-4140-2
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DOI: https://doi.org/10.1007/s11425-010-4140-2
Keywords
- near-epoch dependence
- strong near-epoch dependence
- invariance principle
- fractionally integrated processes