Convergence to Stochastic Integrals with Non-linear integrands
AbstractIn this paper we present a general result concerning the convergence to stochastic integrals with non-linear integrands. The key finding represents a generalization of Chan and Wei's (1988) Theorem 2.4 and that of Ibragimov and Phillips' (2004) Theorem 8.2. This result is necessary for analysing the asymptotic properties of mis-specification tests, when applied to a unit root process, for which Wooldridge (1999) mentioned that the exiting results in the literature were not sufficient.
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Bibliographic InfoPaper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2007-W02.
Length: 18 pages
Date of creation: 12 Feb 2007
Date of revision:
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Web page: http://www.nuff.ox.ac.uk/economics/
non-stationarity; unit roots; convergence; autoregressive processes; martingales stochastic integrals; non-linearity.;
Other versions of this item:
- Bent Nielsen & Carlos Caceres, 2007. "Convergence to Stochastic Integrals with Non-linear Integrands," Economics Series Working Papers 2007-W02, University of Oxford, Department of Economics.
- NEP-ALL-2007-02-17 (All new papers)
- NEP-ECM-2007-02-17 (Econometrics)
- NEP-ETS-2007-02-17 (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.:
- Rustam Ibragimov & Peter C.B. Phillips, 2004.
"Regression Asymptotics Using Martingale Convergence Methods,"
Cowles Foundation Discussion Papers
1473, Cowles Foundation for Research in Economics, Yale University.
- Ibragimov, Rustam & Phillips, Peter C.B., 2008. "Regression Asymptotics Using Martingale Convergence Methods," Econometric Theory, Cambridge University Press, vol. 24(04), pages 888-947, August.
- Ibragimov, Rustam & Phillips, Peter C.B., 2008. "Regression asymptotics using martingale convergence methods," Scholarly Articles 2624459, Harvard University Department of Economics.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
- Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃ¤t der Leibniz UniversitÃ¤t Hannover dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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