The Distance between Rival Nonstationary Fractional Processes

29 Pages Posted: 21 Jul 2008

Date Written: March 2004

Abstract

Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the mean squared error of the difference between (possibly tapered) discrete Fourier transforms under two regimes. We apply the results to deduce limit theory for estimates of memory parameters, including ones for cointegrated errors, with mention also of implications for estimates of cointegrating coefficients.

JEL Classification: C16, C53, G12

Suggested Citation

, The Distance between Rival Nonstationary Fractional Processes (March 2004). LSE STICERD Research Paper No. EM468, Available at SSRN: https://ssrn.com/abstract=1162627