A look at the quality of the approximation of the functional central limit theorem

DOI10.1016/S0165-1765(00)00253-6zbMath0994.60032OpenAlexW2048318303MaRDI QIDQ1606288

Sylvie Mallet, Pierre Perron

Publication date: 24 July 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00253-6

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17)

Cites Work

• A functional central limit theorem for weakly dependent sequences of random variables
• Asymptotics for linear processes
• Local asymptotic distribution related to the AR(1) model with dependent errors
• The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
• Testing for a unit root in time series regression
• Time Series Regression with a Unit Root
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

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