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).
Dedicated to Miklós Csörgő on the occasion of his 80th birthday.
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Wang, Q. (2015). An Extended Martingale Limit Theorem with Application to Specification Test for Nonlinear Co-integrating Regression Model. In: Dawson, D., Kulik, R., Ould Haye, M., Szyszkowicz, B., Zhao, Y. (eds) Asymptotic Laws and Methods in Stochastics. Fields Institute Communications, vol 76. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-3076-0_10
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