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.
- econ_9495_749.pdf application/pdf 372 KB Download File
More About This Work