- 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.
- Economics Working Papers
- Publication date:
- Local pid:
- Copyright date:
Convergence to Stochastic Integrals with Non-linear integrands.
Views and Downloads
If you are the owner of this record, you can report an update to it here: Report update to this record