REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE

@inproceedings{Ibragimov2007REGRESSIONAU,
  title={REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE},
  author={Rustam Ibragimov},
  year={2007}
}
Weak convergence of partial sums and multilinear forms in independent random variables and linear processes and their nonlinear analogues to stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root econometrics. The present paper develops a new and conceptually simple method for obtaining such forms of convergence. The method relies on the fact that the econometric quantities of interest involve discrete time martingales or… CONTINUE READING

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