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Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations

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2003SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE45 cited
2004STATIONARITY TESTING WITH COVARIATES37 cited
2004Point optimal tests of the null hypothesis of cointegration

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26 cited

2004Asymptotic inference results for multivariate long‐memory processes24 cited

1993Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model20 cited

2015Testing for a Unit Root in Noncausal Autoregressive Models19 cited

2009Cointegration analysis under measurement errors16 cited

2002REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES16 cited

2004Optimal Inference in Regression Models with Nearly Integrated Regressors16 cited