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Convergence to Stochastic Integrals with Non-linear integrands

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Author Info
Bent Nielsen () (Nuffield College, Oxford University)
Carlos Caceres () (Nuffield College, Oxford University)

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Abstract

In 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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File URL: http://www.nuffield.ox.ac.uk/economics/papers/2007/w2/Convergence_stochastic_integrals_2007_02_12.pdf
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Publisher Info
Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2007-W02.

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Length: 18 pages
Date of creation: 12 Feb 2007
Date of revision:
Handle: RePEc:nuf:econwp:0702

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Web page: http://www.nuff.ox.ac.uk/economics/

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Related research
Keywords: non-stationarity; unit roots; convergence; autoregressive processes; martingales stochastic integrals; non-linearity.;

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References listed on IDEAS
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.:
  1. Rustam Ibragimov & Peter C.B. Phillips, 2004. "Regression Asymptotics Using Martingale Convergence Methods," Cowles Foundation Discussion Papers 1473, Cowles Foundation, Yale University. [Downloadable!]
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  2. 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. [Downloadable!] (restricted)
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Cited by:
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  1. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-427, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
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This page was last updated on 2009-11-29.

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