Convergence to Stochastic Integrals with Non-linear integrands

Bent Nielsen and Carlos Caceres

No 2007-W02, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: In this paper we present a general result concerning the convergence to stochastic integrals with non-linear integrands. The key finding represents a generalization of Chan and Wei's (1988) Theorem 2.4 and that of Ibragimov and Phillips' (2004) Theorem 8.2. This result is necessary for analysing the asymptotic properties of mis-specification tests, when applied to a unit root process, for which Wooldridge (1999) mentioned that the exiting results in the literature were not sufficient.

Keywords: non-stationarity; unit roots; convergence; autoregressive processes; martingales stochastic integrals; non-linearity. (search for similar items in EconPapers)
Pages: 18 pages
Date: 2007-02-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0702

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