Abstract
We establish asymptotic normality for sums of triangular arrays of near integrated linear processes with martingale difference innovations. The results are obtained under minimal conditions. We also obtain weak convergence of the corresponding partial sum processes. The results are applicable to near unit root settings in statistical and econometric applications.
Original language | English |
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Pages (from-to) | 1411-1415 |
Number of pages | 5 |
Journal | Statistics and Probability Letters |
Volume | 83 |
Issue number | 5 |
DOIs | |
Publication status | Published - May 2013 |
Externally published | Yes |
Keywords
- Linear process
- Near unit root
- Weak convergence