Point optimal testing with roots that are functionally local to unity

Bykhovskaya, Anna; Phillips, Peter C.B.

doi:10.1016/j.jeconom.2020.03.003

Cited by 5 publications

(1 citation statement)

References 22 publications

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“…Remark Bykhoskaya and Phillips (2018a,b) considered a time series generated by the following model:

X_{t} = θ_{t N} X_{t - 1} + u_{t}, t = 1, \dots, N,

where

u_{t} \sim N (0, σ^{2})

and

θ_{t N} = \exp {\frac{c (t / N)}{N}} \approx 1 + \frac{c (t / N)}{N}

. They called this model as functional local unit root (FLUR).…”

Section: Tempered Functional Local To Unity Root Modelmentioning

confidence: 99%

Tempered functional time series

Sabzikar

Kokoszka

2022

Journal Time Series Analysis

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We propose a broad class of models for time series of curves (functions) that can be used to quantify near long‐range dependence or near unit root behavior. We establish fundamental properties of these models and rates of consistency for the sample mean function and the sample covariance operator. The latter plays a role analogous to sample cross‐covariances for multivariate time series, but is far more important in the functional setting because its eigenfunctions are used in principal component analysis, which is a major tool in functional data analysis. It is used for dimension reduction of feature extraction. We also establish a central limit theorem for functions following our model. Both the consistency rates and the normalizations in the Central Limit Theorem (CLT) are nonstandard. They reflect the local unit root behavior and the long memory structure at moderate lags.

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“…Remark Bykhoskaya and Phillips (2018a,b) considered a time series generated by the following model: