MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION

DOI10.1017/S026646661300039XzbMath1296.60103MaRDI QIDQ3191829

Qiying Wang

Publication date: 25 September 2014

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Martingales with discrete parameter (60G42) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) General nonlinear regression (62J02)

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