Econometrica Vol. 58 No. 2 1990
The Fractional Unit Root Distribution
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
- DOI
- 10.2307/2938213
- Volume
- 58
- Issue
- 2
- Pages
- 495
- Sources
- bibtex:phds-export.bib crossref openalex