Abstract
Abstract
In this paper, we introduce a nearly unit root processes with ARFIMA(p; d; q)-GARCH(l;m) errors, and establish an asymptotic theorem for the autoregressive coefficient estimation of the proposed model under very mild conditions. It’s shown that the DF-type tests are functionals of the Ornstein-Uhlenbeck process rather than those of standard Brownian motions in the unit root case.
Subject
General Physics and Astronomy