Convergence to Stochastic Integrals with Non-linear integrands
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References listed on IDEAS
- Ibragimov, Rustam & Phillips, Peter C.B., 2008.
"Regression Asymptotics Using Martingale Convergence Methods,"
Econometric Theory, Cambridge University Press, vol. 24(4), pages 888-947, August.
- 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," 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 817-838, May.
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- Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP) dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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Keywordsnon-stationarity; unit roots; convergence; autoregressive processes; martingales stochastic integrals; non-linearity.;
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