dc.contributor.author | De Jong, Robert M. | en_GB |
dc.contributor.author | Davidson, James | en_GB |
dc.contributor.department | Michigan State University; Cardiff University (now at University of Exeter) | en_GB |
dc.date.accessioned | 2008-07-16T11:47:36Z | en_GB |
dc.date.accessioned | 2011-01-25T10:25:47Z | en_GB |
dc.date.accessioned | 2013-03-19T15:51:46Z | |
dc.date.issued | 2000-10 | en_GB |
dc.description.abstract | This paper gives new conditions for the functional central limit theorem, and weak convergence of stochastic integrals, for near-epoch-dependent functions of mixing processes. These results have fundamental applications in the theory of unit root testing and cointegrating regressions. The conditions given improve on existing results in the literature in terms of the amount of dependence and heterogeneity permitted, and in particular, these appear to be the first such theorems in which virtually the same assumptions are sufficient for both modes of convergence. | en_GB |
dc.identifier.citation | Econometric Theory, Vol. 16 (5) October 2000, pp 621-642 | en_GB |
dc.identifier.uri | http://hdl.handle.net/10036/32135 | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | Cambridge University Press | en_GB |
dc.relation.url | http://journals.cambridge.org/action/displayJournal?jid=ECT | en_GB |
dc.subject | central limit theorem | en_GB |
dc.subject | stochastic integrals | en_GB |
dc.title | The functional central limit theorem and weak convergence to stochastic integrals I: weakly dependent processes | en_GB |
dc.type | Article | en_GB |
dc.date.available | 2008-07-16T11:47:36Z | en_GB |
dc.date.available | 2011-01-25T10:25:47Z | en_GB |
dc.date.available | 2013-03-19T15:51:46Z | |
dc.identifier.issn | 0266-4666 | en_GB |
dc.description | Pre-print; version dated May 1999 | en_GB |
dc.identifier.journal | Econometric Theory | en_GB |