ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
نویسندگان
چکیده
منابع مشابه
Addendum to “ Asymptotics for nonlinear transformations of integrated time series ” ∗
Typically in time series econometrics, for many statistics, a rescaled integrated process is replaced with Brownian motion in order to find the limit distribution. For averages of functions of a rescaled integrated process, Park and Phillips have shown that this remains true for functions with poles, as long as a sample-size dependent region around the poles is excluded from consideration and t...
متن کاملAsymptotics for periodic transformations of integrated time series
∗The author thanks Joon Park, Jeff Wooldridge, and Emma Iglesias for conversations during and after the Cardiff Conference on Long Memory and Nonlinear Time Series in Cardiff, United Kingdom, July 2000, that inspired and speeded up the creation of this paper. Address correspondence to: Department of Economics, Michigan State University, 217 Marshall Hall, East Lansing, MI 48824, USA, Email dejo...
متن کاملFurther results on the asymptotics for nonlinear transformations of integrated time series
This paper establishes various results involving functions of integrated processes. 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. In addition, two results are given that characterize asymptotic behavior of averages of non-integrable functions of rescaled i...
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In this paper we establish the strong approximations for the nonlinear transformations of integrated time series. Both the asymptotically homogeneous and integrable transformations are considered, and the explicit rates for the convergence to their limit distributions are obtained under mild regularity conditions that are satisfied by virtually all nonlinear models used in practical application...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 1999
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466699153015