The role of Skorokhod space in the development of the econometric analysis of time series

J. Roderick Mc CRORIE

No 2008059, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: This paper discusses the fundamental role played by Skorokhod space, through its underpinning of functional central limit theory, in the development of the paradigm of unit roots and co-integration. This paradigm has fundamentally affected the way economists approach economic time series as was recognized by the award of the Nobel Memorial Prize in Economic Sciences to Robert F. Engle and Clive W.J. Granger in 2003. Here, we focus on how P.C.B. Phillips and others used the Skorokhod topology to establish a limiting distribution theory that underpinned and facilitated the development of methods of estimation and testing of single equations and systems of equations with possibly integrated regressors. This approach has spawned a large body of work that can be traced back to Skorokhod's conception of fifty years ago. Much of this work is surprisingly confined to the econometrics literature.

Keywords: Skorokhod space; functional central limit theorems; non-stationary time series; unit roots and co-integration; Wiener functionals; econometrics. (search for similar items in EconPapers)
Date: 2008-10-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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