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An Extended Martingale Limit Theorem with Application to Specification Test for Nonlinear Co-integrating Regression Model

  • Qiying WangEmail author
Part of the Fields Institute Communications book series (FIC, volume 76)

Abstract

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).

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Copyright information

© Springer Science+Business Media New York 2015

Authors and Affiliations

  1. 1.School of Mathematics and StatisticsThe University of SydneySydneyAustralia

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