The Fractional Unit Root Distribution

Fallaw Sowell

235 citations0/0 files storedEconometrica

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Diverse Scientific and Economic Studies

Abstract

Asymptotic distributions are derived for the ordinary least squares estimate of a first order autoregression model when the series is fractionally integrated. The fractional unit root distribution is introduced to describe the limiting distribution. The unit root distribution is shown to be an atypical member of this family because its density is nonzero over the entire real line. For -1/2 Copyright 1990 by The Econometric Society.

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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