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CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES

Published online by Cambridge University Press:  01 June 2009

Rickard Sandberg
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Abstract

Building on work of Hansen (1992, Econometric Theory 8, 489–501), we show weak convergence for power transformations of integrated processes, with possibly serially correlated and heterogeneously distributed increments, to stochastic power integrals. The theory is applicable when testing the unit root or cointegration hypothesis in nonlinear systems by regression-based test statistics.

Type
Research Article
Information
Econometric Theory , Volume 25 , Issue 3 , June 2009 , pp. 739 - 747
Copyright
Copyright © Cambridge University Press 2009

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Footnotes

This research has been supported by Jan Wallander’s Post Doctoral Scholarship W2005-0103:1. The paper was written during my time as a guest researcher at the Swedish Central bank, and I am thankful for a stimulating environment at their research department. I thank two anonymous referees for constructive and helpful suggestions that improved this paper. I also thank Tomas Björk and Annastiina Silvennoinen, who provided useful remarks. The views expressed in this paper are solely the responsibility of the author and should not be interpreted as reflecting the views of the Executive Board of Sveriges Riksbank.

References

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