Article1992

Convergence to Stochastic Integrals for Dependent Heterogeneous Processes

341 citations0/0 files storedEconometric Theory

No readable copy stored yet — this record is metadata only.

Monetary Policy and Economic Impact Stochastic processes and financial applications Diverse Scientific and Economic Studies

Abstract

This paper provides conditions to establish the weak convergence of stochastic integrals. The theorems are proved under the assumption that the innovations are strong mixing with uniformly bounded 2-h moments. Several applications of the results are given, relevant for the theories of estimation with I(1) processes, I(2) processes, processes with nonstationary variances, near-integrated processes, and continuous time approximations.

Citations in this library

Stored only when both papers are in the corpus — 341 citations exist upstream.

References

1987Time Series Regression with a Unit Root 1990Stochastic Integration and Differential Equations 1992Tests for Parameter Instability in Regressions with 1(1) Processes 1987Towards a Unified Asymptotic Theory for Autoregression 1988Statistical Inference in Regressions with Integrated Processes: Part 1 2014Stochastic Integration and Differential Equations : A New Approach 1989Statistical Inference in Regressions with Integrated Processes: Part 2

Cited by

2003Long-horizon regressions: theoretical results and applications 2001Nonlinear Regressions with Integrated Time Series 2012Out-of-Sample Forecast Tests Robust to the Choice of Window Size 2004Estimating cross-section common stochastic trends in nonstationary panel data 2009A new unit root test against ESTAR based on a class of modified statistics 2005Evaluating Direct Multistep Forecasts 1997Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series 1992Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends

Imported from OpenAlex (CC0) — nothing here is generated.