Weak convergence in the near unit root setting

DOI10.1016/J.SPL.2013.01.029MaRDI QIDQ385116zbMATH OpenOpenAlexFDO

Authors N. Bailey, L. Giraitis

Publication date 29 November 2013

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2013.01.029

zbMATH Keywords

weak convergencelinear processnear unit root

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Sums of independent random variables; random walks (60G50)

Recommendations

• Towards a unified asymptotic theory for autoregression
• The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes
• The invariance principle for fractionally integrated processes with strong near-epoch dependent innovations
• Regression Theory for Near-Integrated Time Series
• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS

Cites work

• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotic normality for weighted sums of linear processes
• Asymptotics for linear processes
• Central limit theorem for stationary linear processes
• Large sample inference for long memory processes
• Limit theory for moderate deviations from a unit root
• Mean and autocovariance function estimation near the boundary of stationarity
• Towards a unified asymptotic theory for autoregression
• Uniform Limit Theory for Stationary Autoregression

Cited in

(1)

• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS

This page was built for publication: Weak convergence in the near unit root setting

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q385116)