CONVERGENCE TO STOCHASTIC INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES

被引：178

作者：

HANSEN, BE

机构：

来源：

ECONOMETRIC THEORY | 1992年 / 8卷 / 04期

关键词：

D O I：

10.1017/S0266466600013189

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper provides conditions to establish the weak convergence of stochastic integrals. The theorems are proved under the assumption that the innovations are strong mixing with uniformly bounded 2+ moments. Several applications of the results are given, relevant for the theories of estimation with I(1) processes, I(2) processes, processes with nonstationary variances, near-integrated processes, and continuous time approximations.

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页码：489 / 500

页数：12

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