Pötscher, Benedikt M. (2011): On the Order of Magnitude of Sums of Negative Powers of Integrated Processes.
Download (144kB) | Preview
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|
|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 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes|
|Depositing User:||Benedikt Poetscher|
|Date Deposited:||22. Jan 2011 19:29|
|Last Modified:||19. Feb 2013 15:00|
Berkes, I. & L. Horvath (2006): "Convergence of Integral Functionals of Stochastic Processes. Econometric Theory 22, 304--322.
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, 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.
Jeganathan, P. (2004): "Convergence of Functionals of Sums of R.V.s to Local Times of Fractional Stable Motions." Annals of Probability 32, 1771--1795.
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.
Available Versions of this Item
- On the Order of Magnitude of Sums of Negative Powers of Integrated Processes. (deposited 22. Jan 2011 19:29) [Currently Displayed]