Economics at your fingertips  

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
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2013.01.029

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2021-12-04
Handle: RePEc:eee:stapro:v:83:y:2013:i:5:p:1411-1415