IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v20y2004i03p627-635_20.html
   My bibliography  Save this article

Addendum To “Asymptotics For Nonlinear Transformations Of Integrated Time Series”

Author

Listed:
  • de Jong, Robert M.

Abstract

Typically in time series econometrics, for many statistics, a rescaled integrated process is replaced with Brownian motion to find the limit distribution. For averages of functions of a rescaled integrated process, Park and Phillips have shown that this remains true for functions with poles, as long as a sample-size-dependent region around the poles is excluded from consideration, the function is locally integrable, and some other regularity conditions hold. In this addendum, I show that under some regularity conditions on the function under consideration, there is no need for such a sample-size-dependent region around the pole in Park and Phillips' theorem, as long as the function under consideration is locally integrable.The author thanks four anonymous referees and Professor Phillips for their comments and suggestions and Benedikt Pötscher for suggestions and for pointing out an error in a previous version of this paper.

Suggested Citation

  • de Jong, Robert M., 2004. "Addendum To “Asymptotics For Nonlinear Transformations Of Integrated Time Series”," Econometric Theory, Cambridge University Press, vol. 20(3), pages 627-635, June.
    • Handle: RePEc:cup:etheor:v:20:y:2004:i:03:p:627-635_20
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466604203085/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wang, Qiying & Phillips, Peter C.B., 2009. "Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 25(3), pages 710-738, June.
    2. Heinen, Florian, 2011. "A note on testing for purchasing power parity," Hannover Economic Papers (HEP) dp-471, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    3. Kasparis, Ioannis, 2010. "The Bierens test for certain nonstationary models," Journal of Econometrics, Elsevier, vol. 158(2), pages 221-230, October.
    4. Phillips, Peter C.B., 2009. "Local Limit Theory And Spurious Nonparametric Regression," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1466-1497, December.
    5. Lee, Jungick & de Jong, Robert M., 2008. "Exponential functionals of integrated processes," Economics Letters, Elsevier, vol. 100(2), pages 181-184, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:20:y:2004:i:03:p:627-635_20. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.