Convergence to Stochastic Integrals for Dependent Heterogeneous Processes

Bruce Hansen ()

Econometric Theory, 1992, vol. 8, issue 4, 489-500

Abstract: This paper provides conditions to establish the weak convergence of stochastic integrals. The theorems are proved under the assumption that the innovations are strong mixing with uniformly bounded 2-h moments. Several applications of the results are given, relevant for the theories of estimation with I(1) processes, I(2) processes, processes with nonstationary variances, near-integrated processes, and continuous time approximations.

Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:8:y:1992:i:04:p:489-500_01

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