Sandberg, Rickard - In: Econometric Theory 25 (2009) 03, pp. 739-747
Building on work of Hansen (1992, <italic>Econometric Theory</italic> 8, 489–501), we show weak convergence for power transformations of integrated processes, with possibly serially correlated and heterogeneously distributed increments, to stochastic power integrals. The theory is applicable when testing the...