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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2008
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| Subjects: | |
| 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 |