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

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10.1016/j.spl.2013.01.029

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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.",

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KW - Weak convergence

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Weak convergence in the near unit root setting

Abstract

Keywords

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