Limit Theorems for Functionals of Sums that Converge to Fractional Brownian and Stable Motions
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1649.
Length: 80 pages
Date of creation: Apr 2008
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Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-10 (All new papers)
- NEP-ECM-2008-05-10 (Econometrics)
- NEP-ETS-2008-05-10 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Joon Y. Park & Peter C. B. Phillips, 1999.
"Nonlinear Regressions with Integrated Time Series,"
Working Paper Series
no6, Institute of Economic Research, Seoul National University.
- Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012.
"Non-linearity Induced Weak Instrumentation,"
University of Cyprus Working Papers in Economics
02-2012, University of Cyprus Department of Economics.
- Qiying Wang & Peter C. B. Phillips, 2009. "Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications," Cowles Foundation Discussion Papers 1687, Cowles Foundation for Research in Economics, Yale University.
- Jiti Gao & Peter C.B. Phillips, 2011. "Semiparametric Estimation in Multivariate Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 17/11, Monash University, Department of Econometrics and Business Statistics.
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