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Asymptotic Theory For Near Integrated Process Driven By Tempered Linear Process, Farzad Sabzikar, Qiying Wang, Peter C.B. Phillips
Asymptotic Theory For Near Integrated Process Driven By Tempered Linear Process, Farzad Sabzikar, Qiying Wang, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This paper develops an asymptotic theory for near-integrated random processes and some associated regressions when the errors are tempered linear processes. Tempered processes are stationary time series that have a semi-long memory property in the sense that the autocovariogram of the process resembles that of a long memory model for moderate lags but eventually diminishes exponentially fast according to the presence of a decay factor governed by a tempering parameter. When the tempering parameter is sample size dependent, the resulting class of processes admits a wide range of behavior that includes both long memory, semi-long memory, and short memory processes. …