eprintid: 35499
rev_number: 29
eprint_status: archive
userid: 55
dir: disk0/00/03/54/99
datestamp: 2011-12-20 21:27:48
lastmod: 2019-09-28 04:42:38
status_changed: 2011-12-20 21:27:48
type: paper
succeeds: 28287
metadata_visibility: no_search
abstract: Bounds on the order of magnitude of sums of negative powers of integrated processes are derived.
copyrightnote: I certify that I have the right to deposit the contribution with MPRA
creators_name: Pötscher, Benedikt M.
creators_id: benedikt.poetscher@univie.ac.at
date: 2011-01
date_revision: 2011-12
full_text_status: public
identifierabstract: http://mpra.ub.uni-muenchen.de/35499/
institutions: University of Vienna
ispublished: unpub
keywords: integrated proesses, sums of negative powers, order of magnitude, martingale transform
language: en
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    Christopeit, N. (2009): "Weak Convergence of Nonlinear Transformations of Integrated Processes: The Multivariate Case", Econometric Theory 25, 1180--1207.

    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, 627-635.

    de Jong, R.M. & C. Wang (2005): "Further Results on the Asymptotics for Nonlinear Transformations of Integrated Time Series", Econometric Theory 21, 413-430.

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    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, 154-166.

    Ibragimov, R. & P.C.B. Phillips (2008): "Regression Asymptotics Using Martingale Convergence Methods", Econometric Theory 24, 888-947.

    Park, J.Y. & P.C.B. Phillips (1999): "Asymptotics for Nonlinear Transformations of Integrated Time Series", Econometric Theory 15, 269-298.

    Pötscher, B.M. (2004): "Nonlinear Functionals and Convergence to Brownian Motion: Beyond the Continuous Mapping Theorem", Econometric Theory 20, 1-22.
subjects: C22
title: On the order of magnitude of sums of negative powers of integrated processes
citation:   Pötscher, Benedikt M.  (2011): On the order of magnitude of sums of negative powers of integrated processes.    
document_url: https://mpra.ub.uni-muenchen.de/35499/1/MPRA_paper_35499.pdf