Asymptotics for periodic transformations of integrated time series

  title={Asymptotics for periodic transformations of integrated time series},
  author={Robert M. de Jong},
∗The author thanks Joon Park, Jeff Wooldridge, and Emma Iglesias for conversations during and after the Cardiff Conference on Long Memory and Nonlinear Time Series in Cardiff, United Kingdom, July 2000, that inspired and speeded up the creation of this paper. Address correspondence to: Department of Economics, Michigan State University, 217 Marshall Hall, East Lansing, MI 48824, USA, Email, phone (517)-353-9933. 

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Asymptotics for nonlinear transformations of integrated time series

J. Y. Park, P.C.B. Phillips
Econometric Theory • 1999
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Highly Influenced

Martingale Limit Theory and Its Applications

P. Hall, C.C
Heyde • 1980

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