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Addendum To

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  • de Jong, Robert M.

Abstract

Typically in time series econometrics, for many statistics, a rescaled integrated process is replaced with Brownian motion to find the limit distribution. For averages of functions of a rescaled integrated process, Park and Phillips have shown that this remains true for functions with poles, as long as a sample-size-dependent region around the poles is excluded from consideration, the function is locally integrable, and some other regularity conditions hold. In this addendum, I show that under some regularity conditions on the function under consideration, there is no need for such a sample-size-dependent region around the pole in Park and Phillips theorem, as long as the function under consideration is locally integrable.The author thanks four anonymous referees and Professor Phillips for their comments and suggestions and Benedikt P tscher for suggestions and for pointing out an error in a previous version of this paper.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 20 (2004)
Issue (Month): 03 (June)
Pages: 627-635

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Handle: RePEc:cup:etheor:v:20:y:2004:i:03:p:627-635_20

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Cited by:
  1. Wang, Qiying & Phillips, Peter C.B., 2009. "Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 25(03), pages 710-738, June.
  2. Lee, Jungick & de Jong, Robert M., 2008. "Exponential functionals of integrated processes," Economics Letters, Elsevier, vol. 100(2), pages 181-184, August.
  3. Kasparis, Ioannis, 2010. "The Bierens test for certain nonstationary models," Journal of Econometrics, Elsevier, vol. 158(2), pages 221-230, October.
  4. Heinen, Florian, 2011. "A note on testing for purchasing power parity," Hannover Economic Papers (HEP) dp-471, Leibniz Universit├Ąt Hannover, Wirtschaftswissenschaftliche Fakult├Ąt.
  5. Phillips, Peter C.B., 2009. "Local Limit Theory And Spurious Nonparametric Regression," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1466-1497, December.

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