The role of Skorokhod space in the development of the econometric analysis of time series

MaRDI QIDQ5324908zbMATH OpenFDO

Authors J. Roderick McCrorie

Publication date 8 August 2009

zbMATH Keywords

econometricsnon-stationary time seriesunit rootsfunctional central limit theoremSkorokhod spaceco-integrationWiener functional

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17)

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