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On the Order of Magnitude of Sums of Negative Powers of Integrated Processes

Author

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  • Pötscher, Benedikt M.

Abstract

Bounds on the order of magnitude of sums of negative powers of integrated processes are derived.

Suggested Citation

  • Pötscher, Benedikt M., 2011. "On the Order of Magnitude of Sums of Negative Powers of Integrated Processes," MPRA Paper 28287, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:28287
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    References listed on IDEAS

    as
    1. P tscher, Benedikt M., 2004. "Nonlinear Functions And Convergence To Brownian Motion: Beyond The Continuous Mapping Theorem," Econometric Theory, Cambridge University Press, vol. 20(01), pages 1-22, February.
    2. 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.
    3. 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.
    4. Park, Joon Y. & Phillips, Peter C.B., 1999. "Asymptotics For Nonlinear Transformations Of Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 15(03), pages 269-298, June.
    5. Christopeit, Norbert, 2009. "Weak Convergence Of Nonlinear Transformations Of Integrated Processes: The Multivariate Case," Econometric Theory, Cambridge University Press, vol. 25(05), pages 1180-1207, October.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    integrated proesses; sums of negative powers; order of magnitude; martingale transform;

    JEL classification:

    • 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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