WEAK CONVERGENCE OF NONLINEAR TRANSFORMATIONS OF INTEGRATED PROCESSES: THE MULTIVARIATE CASE

DOI10.1017/S0266466608090476zbMath1286.60023MaRDI QIDQ5411514

Norbert Christopeit

Publication date: 23 April 2014

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

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)

Related Items (5)

NEGATIVE POWERS OF INTEGRATED PROCESSES ⋮ Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes ⋮ CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS ⋮ ON THE ORDER OF MAGNITUDE OF SUMS OF NEGATIVE POWERS OF INTEGRATED PROCESSES ⋮ Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances

Cites Work

• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Nonlinear Regressions with Integrated Time Series
• Discrete Approximation of Continuous Time Stochastic Control Systems
• CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES

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