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FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
Category: Econometrics
NONLINEAR TIME SERIES I Sunday 25th August 2002, 14:30 - 16:00, Room: 1.3
Session Chair(s):
Donald W. K. Andrews , Yale University, UNITED STATES
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Abstract:
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This paper establishes various results involving functions of integrated processes that all build upon recent work by Park and Phillips. First, a result is established for the average of a locally integrable function of a rescaled integrated process, and the function under consideration is explicitly allowed to have pole. Two additional results are given that
characterize asymptotic behavior in the case of non-integrable poles; the observations close to the pole take over asymptotic behavior in that case. Furthermore, two theorems - that improve similar results by Park and Phillips - are proven for averages of functions of an integrated process that has not been rescaled by the square root of sample size.
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Find this file in the \Papers\372\ folder of this CD-ROM.
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