CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES

被引：8

作者：

Sandberg, Rickard ^{[1
]}

机构：

[1] Stockholm Sch Econ, Dept Econ, SE-11383 Stockholm, Sweden

来源：

ECONOMETRIC THEORY | 2009年 / 25卷 / 03期

关键词：

TIME-SERIES; UNIT-ROOT; MODELS; ASYMPTOTICS; REGRESSION; EQUATIONS; THEOREM; TESTS;

D O I：

10.1017/S0266466608090270

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Building on work of Hansen (1992, Econometric Theory 8, 489-501), we show weak convergence for power transformations of integrated processes, with possibly serially correlated and heterogeneously distributed increments, to stochastic power integrals. The theory is applicable when testing the Unit root or cointegration hypothesis in nonlinear systems by regression-based test statistics.

引用

页码：739 / 747

页数：9

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