Template-type: ReDIF-Paper 1.0
Author-Name: Bent Nielsen
Author-Email: bent.nielsen@nuffield.ox.ac.uk
Author-Workplace-Name: Nuffield College, Oxford University
Author-Workplace-Homepage: http://www.nuffield.ox.ac.uk/college/
Author-Name: Carlos Caceres 
Author-Email: carlos.caceres@nuffield.ox.ac.uk
Author-Workplace-Name: Nuffield College, Oxford University
Author-Workplace-Homepage: http://www.nuffield.ox.ac.uk/college/
Title: Convergence to Stochastic Integrals with Non-linear integrands
Abstract: In this paper we present a general result concerning the convergence to
stochastic integrals with non-linear integrands.  The key finding represents a 
generalization of Chan and Wei's (1988) Theorem 2.4 and that of Ibragimov and 
Phillips' (2004) Theorem 8.2.  This result is necessary for analysing the asymptotic 
properties of mis-specification tests, when applied to a unit root process, for which 
Wooldridge (1999) mentioned that the exiting results in the literature were not sufficient.
Keywords: non-stationarity, unit roots, convergence, autoregressive processes, martingales stochastic
integrals, non-linearity.
Length: 18 pages
Creation-Date: 2007-02-12
Number: 2007-W02
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2007/w2/Convergence_stochastic_integrals_2007_02_12.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0702