Weak convergence in the near unit root setting

Natalia Bailey and Liudas Giraitis ()

Statistics & Probability Letters, 2013, vol. 83, issue 5, 1411-1415

Abstract: We establish asymptotic normality for sums of triangular arrays of near integrated linear processes with martingale difference innovations. The results are obtained under minimal conditions. We also obtain weak convergence of the corresponding partial sum processes. The results are applicable to near unit root settings in statistical and econometric applications.

Keywords: Linear process; Weak convergence; Near unit root (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.01.029

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