Generalized Fractional Unit Root Distribution
碩士 === 國立高雄第一科技大學 === 金融營運所 === 90 === ABSTRACT In this paper, we first develop an asymptotic theory for the partial sums of an ARFIMA(p,d,q) process. Then we study the asymptotic behavior of OLS slope estimator under a AR(1) model with an ARFIMA(p,d,q) error. When the fractional difference paramete...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/07266519176268079207 |