ON THE ORDER OF MAGNITUDE OF SUMS OF NEGATIVE POWERS OF INTEGRATED PROCESSES

Benedikt Pötscher

Econometric Theory, 2013, vol. 29, issue 3, 642-658

Abstract: Upper and lower bounds on the order of magnitude of $\sum\nolimits_{t = 1}^n {\lefttnq#x007C; {x_t } \righttnq#x007C;^{ - \alpha } } $, where xt is an integrated process, are obtained. Furthermore, upper bounds for the order of magnitude of the related quantity $\sum\nolimits_{t = 1}^n {v_t } \lefttnq#x007C; {x_t } \righttnq#x007C;^{ - \alpha } $, where vt are random variables satisfying certain conditions, are also derived.

Date: 2013
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Working Paper: On the Order of Magnitude of Sums of Negative Powers of Integrated Processes (2011)
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