ASYMPTOTICS OF NONSTATIONARY FRACTIONAL INTEGRATED SERIES
非平稳分数单整序列的渐近理论
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…