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Keyword: rates of convergence;
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Peter M Robinson
Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the...Read more...
Liudas Giraitis, Peter M Robinson and Donatas Surgailis
Liudas Giraitis, Peter M Robinson and Alexander Samarov
There exist several estimators of the memory parameter in long-memory time series models with mean µ and the spectrum specified only locally near zero frequency. In this paper we give a lower bound for the rate of conver...Read more...
Recent tests for the convergence hypothesis derive from regressing average growth rates on initial levels: a negative initial coefficient is interpreted as convergence. These tests turn out to be plagued by Galton's clas...Read more...