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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
Authors: Sandberg, Rickard
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 25.2009, 03, p. 739-747
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10004972594
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