NEGATIVE POWERS OF INTEGRATED PROCESSES

Neslihan Sakarya () and Robert M. de Jong

Econometric Theory, 2022, vol. 38, issue 2, 339-369

Abstract: This paper derives the limit distribution of the rescaled sum of the absolute value of an integrated process with continuously distributed innovations raised to a negative power less than $-$ 1, and of the analogous statistic that is obtained using the same function of an integrated process but only considering positive values of the integrated process. We show that the limit behavior of this statistic is determined by the values of the integrated process that are closest to 0, and find the limit behavior of the values of the integrated process that are closest to 0.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:38:y:2022:i:2:p:339-369_4

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