Convergence to Stochastic Integrals with Non-linear integrands.

Working paper

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.

Authors: Caceres, C; Nielsen, B

• Publisher: Nuffield College (University of Oxford)
• Series: Economics Working Papers
• Publication date: 2007-01-01
• Language: English