CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
Econometric Theory, 2009, vol. 25, issue 3, 739-747
Building on work of Hansen (1992, Econometric Theory 8, 489â€“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.
References: Add references at CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed
Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:25:y:2009:i:03:p:739-747_09
Access Statistics for this article
More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().