Weak convergence in the near unit root setting

N. Bailey, Liudas Giraitis

Research output: Contribution to journalArticleResearchpeer-review


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 languageEnglish
Pages (from-to)1411-1415
Number of pages5
JournalStatistics and Probability Letters
Issue number5
Publication statusPublished - May 2013
Externally publishedYes


  • Linear process
  • Near unit root
  • Weak convergence

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