Econometric Society 57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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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

Presenter(s): de Jong, Robert

Co-Author(s): none

Keyword(s): Econometrics, time series, unit roots

JEL(s): C22, C32

Abstract:

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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Paper Reference Number: 372

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57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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