Convergence to Stochastic Integrals with Non-linear integrands
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.
|Date of creation:||12 Feb 2007|
|Date of revision:|
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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.
- 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.
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