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A Useful Multivariate Stochastic Integration Result

Dhrymes, Phoebus J.

This paper derives the limiting distribution of the matrix (1/T) ΣTj=1 Z't-1. ŋt. Where Zt = Σtj=1 ŋj and ŋj is a suitably restricted mixing process. It does so by the same method as in the scalar case with the aid of Ito's multivariate formula.

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Academic Units
Economics
Publisher
Department of Economics, Columbia University
Series
Department of Economics Discussion Papers, 749
Published Here
March 2, 2011

Notes

October 1995

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