Weak convergence in the near unit root setting

N. Bailey; Liudas Giraitis

doi:10.1016/j.spl.2013.01.029

Weak convergence in the near unit root setting

N. Bailey, Liudas Giraitis

Research output: Contribution to journal › Article › Research › peer-review

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
Pages (from-to)	1411-1415
Number of pages	5
Journal	Statistics and Probability Letters
Volume	83
Issue number	5
DOIs	https://doi.org/10.1016/j.spl.2013.01.029
Publication status	Published - May 2013
Externally published	Yes

Keywords

Linear process
Near unit root
Weak convergence

Access to Document

10.1016/j.spl.2013.01.029

Cite this

@article{9f5194e8d44d4350a33f3d5b19ebe57f,

title = "Weak convergence in the near unit root setting",

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.",

keywords = "Linear process, Near unit root, Weak convergence",

author = "N. Bailey and Liudas Giraitis",

year = "2013",

month = may,

doi = "10.1016/j.spl.2013.01.029",

language = "English",

volume = "83",

pages = "1411--1415",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier",

number = "5",

}

TY - JOUR

T1 - Weak convergence in the near unit root setting

AU - Bailey, N.

AU - Giraitis, Liudas

PY - 2013/5

Y1 - 2013/5

N2 - 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.

AB - 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.

KW - Linear process

KW - Near unit root

KW - Weak convergence

UR - http://www.scopus.com/inward/record.url?scp=84874752315&partnerID=8YFLogxK

U2 - 10.1016/j.spl.2013.01.029

DO - 10.1016/j.spl.2013.01.029

M3 - Article

AN - SCOPUS:84874752315

VL - 83

SP - 1411

EP - 1415

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

SN - 0167-7152

IS - 5

ER -

Weak convergence in the near unit root setting

Abstract

Keywords

Access to Document

Other files and links

Cite this