Regression Asymptotics using Martingale Convergence Methods

• 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
• Institution: Singapore Management University

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...