REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS

DOI10.1017/S0266466608080365zbMath1284.60053OpenAlexW3123380452MaRDI QIDQ3632405

Peter C. B. Phillips, Rustam Ibragimov

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608080365

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Martingales and classical analysis (60G46)

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