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Convergence to Stochastic Integrals for Dependent Heterogeneous Processes

Published online by Cambridge University Press:  18 October 2010

Bruce E. Hansen
Bruce E. Hansen
Affiliation:
University of Rochester
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Abstract

This paper provides conditions to establish the weak convergence of stochastic integrals. The theorems are proved under the assumption that the innovations are strong mixing with uniformly bounded 2-h moments. Several applications of the results are given, relevant for the theories of estimation with I(1) processes, I(2) processes, processes with nonstationary variances, near-integrated processes, and continuous time approximations.

Type
Articles
Information
Econometric Theory , Volume 8 , Issue 4 , December 1992 , pp. 489 - 500
Copyright
Copyright © Cambridge University Press 1992

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