ASYMPTOTICS OF NONSTATIONARY FRACTIONAL INTEGRATED SERIES
研究了d≥½的非平稳分数积分时间序列的渐近性质，特别关注d=(2p+1)/2的情形，对分析通胀率和股市波动等经济序列的大样本性质有用。
In this paper, we study the asymptotics of nonstationary fractional integrated time series, the long memory time series with d ≥ ½, with special attention focused on the cases when d = (2 p + 1)/2 for integer n no less than 0. There is considerable empirical evidence showing long memory of this magnitude in many economic time series including the inflation rate and the stock market volatility. A study of the large-sample property is therefore both needed and useful. Also, we found the asymptotics of nonstationary fractional integrated time series useful in the study of the large-sample theory of the Kwiatkowski–Phillips–Schmidt–Shin test (1992, Journal of Econometrics 54, 159–178).