An Extended Martingale Limit Theorem with Application to Specification Test for Nonlinear Co-integrating Regression Model
For a certain class of martingales, the convergence to a mixture of normal distributions was established in Wang (Econ Theory 30:509–535, 2014) under convergence in distribution rather than convergence in probability for the conditional variance. This extended martingale limit theorem is used to investigate a specification test for a nonlinear co-integrating regression model, providing a neat proof for main result in Wang and Phillips (Ann Stat 40:727–758, 2012).
- 12.Wang, Q., Phillips, P.C.B.: Supplement to – a specification test for nonlinear nonstationary models (2012). doi:10.1214/12-AOS975SUPPGoogle Scholar