NEGATIVE POWERS OF INTEGRATED PROCESSES

B-Tier
Journal: Econometric Theory
Year: 2022
Volume: 38
Issue: 2
Pages: 339-369

Authors (2)

Sakarya, Neslihan (University of Essex) de Jong, Robert M. (not in RePEc)

Score contribution per author:

1.009 = (α=2.02 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:38:y:2022:i:2:p:339-369_4
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29