Nonlinear Functions and Convergence to Brownian Motion: Beyond the Continuous Mapping Theorem

Benedikt Pötscher

Vienna Economics Papers from University of Vienna, Department of Economics

Abstract: Weak convergence results for sample averages of nonlinear functions of (discrete-time) stochastic processes satisfying a functional central limit theorem (e.g., integrated processes) are given. These results substantially extend recent work by Park and Phillips (1999) and de Jong (2001), in that a much wider class of functions is covered. For example, some of the results hold for the class of all locally integrable functions, thus avoiding any of the various regularity conditions imposed on the functions in Park and Phillips (1999) or de Jong (2001).

JEL-codes: C00 C10 C22 (search for similar items in EconPapers)
Date: 2001-11
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Related works:
Journal Article: NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:vie:viennp:vie0203

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