In this paper we establish the strong approximations for the nonlinear transformations of integrated time series. Both the asymptotically homogeneous and integrable transformations are considered, and the explicit rates for the convergence to their limit distributions are obtained under mild regularity conditions that are satisfied by virtually all nonlinear models used in practical applications. The first order asymptotics are also derived under the conditions that are significantly weaker than those required by earlier works.
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Paper provided by Rice University, Department of Economics in its series Working Papers with number
2003-18.
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Joon Y. Park & Peter C. B. Phillips, 2000.
"Nonstationary Binary Choice,"
Econometrica,
Econometric Society, vol. 68(5), pages 1249-1280, September.
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