Weak convergence to stochastic integrals for econometric applications

• Main Authors: LIANG, Hanying, Peter C. B. PHILLIPS, WANG, Hanchao, WANG, Qiying
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: Decomposition; FM regression; Linear process; Long memory; Stochastic integral; Semimartingale; α−mixing; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1945; https://ink.library.smu.edu.sg/context/soe_research/article/2944/viewcontent/WeakConvergenceSchochasticIntegrals_2014_pp.pdf
• Institution: Singapore Management University

Limit theory involving stochastic integrals is now widespread in time series econometrics and relies on a few key results on functional weak convergence. In establishing such convergence, the literature commonly uses martingale and semimartingale structures. While these structures have wide relevanc...