CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
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 unit root or cointegration hypothesis in nonlinear systems by regression-based test statistics.
Year of publication: |
2009
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Authors: | Sandberg, Rickard |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 25.2009, 03, p. 739-747
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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