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Negative powers of integrated processes

Sakarya, Neslihan and de Jong, Robert M (2021) 'Negative powers of integrated processes.' Econometric Theory. ISSN 0266-4666

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Abstract

This paper derives the limit distribution of the rescaled sum of the absolute value of an integrated process with continuously distributed innovations raised to a negative power less than -1, and of the analogous statistic that is obtained using the same function of an integrated process but only considering positive values of the integrated process. We show that the limit behavior of this statistic is determined by the values of the integrated process that are closest to 0, and find the limit behavior of the values of the integrated process that are closest to 0.

Item Type: Article
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Elements
Date Deposited: 04 May 2021 15:45
Last Modified: 04 May 2021 15:45
URI: http://repository.essex.ac.uk/id/eprint/30271

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