CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES

Rickard Sandberg

Econometric Theory, 2009, vol. 25, issue 03, pages 739-747

Abstract: 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.

Date: 2009

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