This paper derives a limit distribution result involving exponential functionals of integrated processes. This implies the availability of an additional class of functions for which the limit behavior of the average of a function of an integrated process is well-established.

We demonstrate that standard methods of asymptotic inference break down for a binary choice duration model in a time series setting. This is because the dependent variable has a degenerate limit distribution, which makes the asymptotic variance-covariance matrix singular.

This note concerns an asymptotic distribution result from the literature on nonlinear estimation with integrated variables. It points out a way of strengthening local asymptotic distribution results towards results that hold for the global minimizer of the criterion function.