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Exponential functionals of integrated processes

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  • Lee, Jungick
  • de Jong, Robert M.

Abstract

This paper derives a limit distribution result involving exponential functionals of integrated processes. This implies the availability of an additional class of functions for which the limit behavior of the average of a function of an integrated process is well-established.

Suggested Citation

  • Lee, Jungick & de Jong, Robert M., 2008. "Exponential functionals of integrated processes," Economics Letters, Elsevier, vol. 100(2), pages 181-184, August.
    • Handle: RePEc:eee:ecolet:v:100:y:2008:i:2:p:181-184
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    References listed on IDEAS

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    1. Joon Y. Park & Peter C. B. Phillips, 2000. "Nonstationary Binary Choice," Econometrica, Econometric Society, vol. 68(5), pages 1249-1280, September.
    2. Park, Joon Y. & Phillips, Peter C.B., 1999. "Asymptotics For Nonlinear Transformations Of Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 15(3), pages 269-298, June.
    3. Davies, P.L. & Krämer, W., 2003. "The Dickey–Fuller Test For Exponential Random Walks," Econometric Theory, Cambridge University Press, vol. 19(5), pages 865-877, October.
    4. de Jong, Robert M., 2004. "Addendum To “Asymptotics For Nonlinear Transformations Of Integrated Time Series”," Econometric Theory, Cambridge University Press, vol. 20(3), pages 627-635, June.
    5. Pötscher, Benedikt M., 2004. "Nonlinear Functions And Convergence To Brownian Motion: Beyond The Continuous Mapping Theorem," Econometric Theory, Cambridge University Press, vol. 20(1), pages 1-22, February.
    6. Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
    7. de Jong, Robert & Wang, Chien-Ho, 2005. "Further Results On The Asymptotics For Nonlinear Transformations Of Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 21(2), pages 413-430, April.
    Full references (including those not matched with items on IDEAS)

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