## Abstract We consider asymptotic behavior of selfβnormalized sums of autoregressive fractionally integrated moving average (ARFIMA) processes whose innovations are GARCH errors. The asymptotic distribution of the sums is derived under very mild conditions. Applications to unit root tests with ARF
β¦ LIBER β¦
Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors
β Scribed by Zacharias Psaradakis
- Book ID
- 108549477
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 225 KB
- Volume
- 22
- Category
- Article
- ISSN
- 0143-9782
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