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Convergence to Stochastic Integrals with Non-linear integrands.

Abstract:
In this paper we present a general result concerning the convergence to stochastic integrals with non-linear integrands. The key finding represents a generalization of Chan and Wei's (1988) Theorem 2.4 and that of Ibragimov and Phillips' (2004) Theorem 8.2. This result is necessary for analysing the asymptotic properties of mis-specification tests, when applied to a unit root process, for which Wooldridge (1999) mentioned that the exiting results in the literature were not sufficient.

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Volume:
W02
Series:
Economics Working Papers
Publication date:
2007-01-01
URN:
uuid:1831e642-f045-4544-8a97-d7898f0f8d55
Local pid:
oai:economics.ouls.ox.ac.uk:11947
Language:
English

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