Understanding the functional central limit theorems with some applications to unit root testing with structural change
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- Juan Carlos Aquino & Gabriel Rodríguez, 2011. "Understanding The Functional Central Limit Theorems With Some Applications To Unit Root Testing With Structural Change," Documentos de Trabajo / Working Papers 2011-319, Departamento de Economía - Pontificia Universidad Católica del Perú.
References listed on IDEAS
- Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Aquino, Juan Carlos & Espino, Freddy, 2013. "Terms of Trade and Current Account Fluctuations: a Vector Autoregression Approach," Working Papers 2013-008, Banco Central de Reserva del Perú.
- Gabriel Rodríguez & Alfredo Vargas, 2012.
"Impacto de expectativas políticas en los retornos del Índice General de la Bolsa de Valores de Lima,"
Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 35(70), pages 190-223.
- Gabriel Rodríguez & Alfredo Vargas, 2011. "Impacto de Expectativas Políticas en los Retornos del Indice General de la Bolsa de Valores de Lima," Documentos de Trabajo / Working Papers 2011-323, Departamento de Economía - Pontificia Universidad Católica del Perú.
More about this item
KeywordsUnit root testing; structural break; functional central limit theorem; Ornstein-Uhlenbeck process.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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