题 目：Convergence to stochastic integrals: beyond the semi-martingale
【摘要】On the convergence to stochastic integrals, most of previous works imposed a semi-martingale structure in establishing the asymptotics. This semi-martingale structure is not sufficiently general in many econometric applications, particularly in framework of cointegration. In this paper, we investigate the convergence to stochastic integrals beyond the semi-martingale. It is shown that limitation is essentially different if the semi-martingale innovation is replaced by a linear process or a sequence of mixing random variables, extending earlier results of Ibragimov and Phillips (2008) and De Jong (2002).
时间：2014年11月27日（周四）下午16:00开始
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