Title of article
Convergence of averages of scaled functions of I(1) linear processes
Author/Authors
Jong، Robert M. de نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
-26
From page
27
To page
0
Abstract
Econometricians typically make use of functional central limit theorems to prove results for I (1) processes. For example, to establish the limit distributions of unit root tests such as the Phillips¯Perron and Dickey¯Fuller tests, the functional central limit theorem plays a crucial role. In this paper, it is pointed out that for linear processes, minimal conditions that ensure that only a central limit theorem holds are sufficient for establishing limit distributions of such tests. This eliminates the need to impose the stronger functional central limit theorem conditions and implies convergence of Dickey¯Fuller type unit root tests under minimal conditions.
Keywords
Political instability , growth , Specification empirics
Journal title
Economics Letters
Serial Year
2001
Journal title
Economics Letters
Record number
21653
Link To Document