Pötscher, Benedikt M. (2011): On the order of magnitude of sums of negative powers of integrated processes.
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Abstract
Bounds on the order of magnitude of sums of negative powers of integrated processes are derived.
Item Type:  MPRA Paper 

Original Title:  On the order of magnitude of sums of negative powers of integrated processes 
Language:  English 
Keywords:  integrated proesses, sums of negative powers, order of magnitude, martingale transform 
Subjects:  C  Mathematical and Quantitative Methods > C2  Single Equation Models; Single Variables > C22  TimeSeries Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models 
Item ID:  40017 
Depositing User:  Benedikt Poetscher 
Date Deposited:  11. Jul 2012 21:49 
Last Modified:  19. Feb 2013 14:08 
References:  Berkes, I. & L. Horvath (2006): "Convergence of Integral Functionals of Stochastic Processes", Econometric Theory 22, 304322. Borodin, A.N. & I.A. Ibragimov (1995): "Limit Theorems for Functionals of Random Walks", Proceedings of the Steklov Institute of Mathematics 195(2). Christopeit, N. (2009): "Weak Convergence of Nonlinear Transformations of Integrated Processes: The Multivariate Case", Econometric Theory 25, 11801207. Chung, K.L. (2001): A Course in Probability Theory. 3rd ed. Academic Press. Chung, K.L. & R.J. Williams (1990): Introduction to Stochastic Integration. 2nd ed. Birkhäuser. de Jong, R.M. (2004): "Addendum to 'Asymptotics for Nonlinear Transformations of Integrated Time Series'", Econometric Theory 20, 627635. de Jong, R.M. & C. Wang (2005): "Further Results on the Asymptotics for Nonlinear Transformations of Integrated Time Series", Econometric Theory 21, 413430. Jeganathan, P. (2004): "Convergence of Functionals of Sums of R.V.s to Local Times of Fractional Stable Motions", Annals of Probability 32, 17711795. Lai, T.L. & C.Z. Wei (1982): "Least Squares Estimates in Stochastic Regression Models With Applications to Identification and Control of Dynamic Systems", Annals of Statistics 10, 154166. Ibragimov, R. & P.C.B. Phillips (2008): "Regression Asymptotics Using Martingale Convergence Methods", Econometric Theory 24, 888947. Park, J.Y. & P.C.B. Phillips (1999): "Asymptotics for Nonlinear Transformations of Integrated Time Series", Econometric Theory 15, 269298. Pötscher, B.M. (2004): "Nonlinear Functionals and Convergence to Brownian Motion: Beyond the Continuous Mapping Theorem", Econometric Theory 20, 122. 
URI:  http://mpra.ub.unimuenchen.de/id/eprint/40017 
Available Versions of this Item

On the Order of Magnitude of Sums of Negative Powers of Integrated Processes. (deposited 22. Jan 2011 19:29)

On the order of magnitude of sums of negative powers of integrated processes. (deposited 20. Dec 2011 21:27)
 On the order of magnitude of sums of negative powers of integrated processes. (deposited 11. Jul 2012 21:49) [Currently Displayed]

On the order of magnitude of sums of negative powers of integrated processes. (deposited 20. Dec 2011 21:27)