Regression Asymptotics using Martingale Convergence Methods

Regression Asymptotics using Martingale Convergence Methods

Weak convergence of partial sums and multilinear forms in independent random variables and linear processes and their nonlinear analogues to stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root econometrics. The present paper d...

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Bibliographic Details
Main Authors: IBRAGIMOV, Rustam, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
Subjects:
Non-stationary
Nonlinear cointegration
time series
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/251
https://ink.library.smu.edu.sg/context/soe_research/article/1250/viewcontent/Regression_Asymptotics_Using_Martingale_2008_ET.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/251
https://ink.library.smu.edu.sg/context/soe_research/article/1250/viewcontent/Regression_Asymptotics_Using_Martingale_2008_ET.pdf

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