1995 Reports
A Useful Multivariate Stochastic Integration Result
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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econ_9495_749.pdf application/pdf 372 KB Download File
More About This Work
- Academic Units
- Economics
- Publisher
- Department of Economics, Columbia University
- Series
- Department of Economics Discussion Papers, 749
- Published Here
- March 2, 2011
Notes
October 1995