Weak convergence in the near unit root setting

We establish asymptotic normality for sums of triangular arrays of near integrated linear processes with martingale difference innovations. The results are obtained under minimal conditions. We also obtain weak convergence of the corresponding partial sum processes. The results are applicable to near unit root settings in statistical and econometric applications.

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Year of publication:	2013
Authors:	Bailey, N. ; Giraitis, L.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 5, p. 1411-1415
Publisher:	Elsevier
Subject:	Linear process \| Weak convergence \| Near unit root

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010662318