Asymptotics of Integrated Processes

Uwe Hassler

Chapter 14 in Stochastic Processes and Calculus, 2016, pp 303-330 from Springer

Abstract: Abstract This chapter aims at providing the basics in order to understand the asymptotic distributions of modern time series econometrics. In the first section, we treat the mathematical problems of a functional limit theory as solved and get to know the basic ingredients of a functional limit theory. Then, we proceed somewhat more abstractly by presenting the mathematical hurdles to be overcome in order to arrive at a functional limit theory. Finally, we consider multivariate generalizations.

Keywords: Pure Random Process; Functional Central Limit Theorem (FCLT); Supremum Metric; Continuous Mapping Theorem; Cadlag Functions (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-319-23428-1_14

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DOI: 10.1007/978-3-319-23428-1_14

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