The functional central limit theorem and weak convergence to stochastic integrals I: weakly dependent processes

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The functional central limit theorem and weak convergence to stochastic integrals I: weakly dependent processes

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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_US
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_US
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


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