Strong Approximations for Nonlinear Transformations of Integrated Time Series

Joon Park

Working Papers from Rice University, Department of Economics

Abstract: In this paper we establish the strong approximations for the nonlinear transformations of integrated time series. Both the asymptotically homogeneous and integrable transformations are considered, and the explicit rates for the convergence to their limit distributions are obtained under mild regularity conditions that are satisfied by virtually all nonlinear models used in practical applications. The first order asymptotics are also derived under the conditions that are significantly weaker than those required by earlier works.

Date: 2003-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.ruf.rice.edu/~econ/papers/2003papers/18park.pdf

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: https://EconPapers.repec.org/RePEc:ecl:riceco:2003-18

Access Statistics for this paper

More papers in Working Papers from Rice University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by ().