Sample autocorrelations of nonsationary fractionally integrated series |
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Authors: | U Hassler |
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Institution: | 1. Institute for Statistics and Econometrics, Free University of Berlin, Boltzmannstrasse 20, 14195, Berlin, FRG
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Abstract: | We derive the asymptotic distribution of the sample autocor-relations of nonstationary fractionally integrated processes of order d. If d≥1, the sample autocorrelations approach their probability limit one with a rate equal to the sample size. If d<1, the rate is slower and depends on d. These findings carry over to the case of detrended series. Monte Carlo evidence and an empirical example illustrate the theoretical results. |
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