THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I

Robert M. de Jong and James Davidson ()

Econometric Theory, 2000, vol. 16, issue 05, pages 621-642

Abstract: This paper gives new conditions for the functional central limit theorem, and weak convergence of stochastic integrals, for near-epoch-dependent functions of mixing processes. These results have fundamental applications in the theory of unit root testing and cointegrating regressions. The conditions given improve on existing results in the literature in terms of the amount of dependence and heterogeneity permitted, and in particular, these appear to be the first such theorems in which virtually the same assumptions are sufficient for both modes of convergence.

Date: 2000
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Journal Article: THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II (2000)
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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:16:y:2000:i:05:p:621-642_16

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