On the Order of Magnitude of Sums of Negative Powers of Integrated Processes
AbstractBounds on the order of magnitude of sums of negative powers of integrated processes are derived.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 28287.
Date of creation: Jan 2011
Date of revision:
integrated proesses; sums of negative powers; order of magnitude; martingale transform;
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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-30 (All new papers)
- NEP-ECM-2011-01-30 (Econometrics)
- NEP-ETS-2011-01-30 (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.:
- Park, Joon Y. & Phillips, Peter C.B., 1999.
"Asymptotics For Nonlinear Transformations Of Integrated Time Series,"
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- Berkes, Istv n & Horv th, Lajos, 2006. "Convergence Of Integral Functionals Of Stochastic Processes," Econometric Theory, Cambridge University Press, vol. 22(02), pages 304-322, April.
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"Regression asymptotics using martingale convergence methods,"
2624459, Harvard University Department of Economics.
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- 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.
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