CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES

DOI10.1017/S0266466608090270MaRDI QIDQ3181944zbMATH OpenFDO

Authors Rickard Sandberg

Publication date 30 September 2009

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466608090270

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Stochastic integrals (60H05) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals
• UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
• Weak convergence of functionals of non-homogeneous Markov chain
• WEAK CONVERGENCE OF NONLINEAR TRANSFORMATIONS OF INTEGRATED PROCESSES: THE MULTIVARIATE CASE
• On convergence to stochastic integrals

Cites work

• A maximal inequality and dependent strong laws
• FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• Inference in Linear Time Series Models with some Unit Roots
• Linearity tests and stationarity
• Nonlinear Regressions with Integrated Time Series
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Testing for a unit root in the nonlinear STAR framework
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Time Series Regression with a Unit Root
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(9)

• Weak identification in the ESTAR model and a new model
• Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
• Exceedance of power barriers for integrated continuous-time stationary ergodic stable processes
• scientific article; zbMATH DE number 698681 (Why is no real title available?)
• A new unit root test against ESTAR based on a class of modified statistics
• Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals
• Weak convergence of functionals of non-homogeneous Markov chain
• M-estimator based unit root tests in the ESTAR framework
• \(\Gamma \)-convergence of power-law functionals with variable exponents

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