| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1151917 | Statistics & Probability Letters | 2013 | 5 Pages |
Abstract
We establish asymptotic normality for sums of triangular arrays of near integrated linear processes with martingale difference innovations. The results are obtained under minimal conditions. We also obtain weak convergence of the corresponding partial sum processes. The results are applicable to near unit root settings in statistical and econometric applications.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
N. Bailey, L. Giraitis,