CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
研究了相依异质增量下积分过程的幂变换向随机幂积分的弱收敛性，为非线性系统中的单位根和协整检验提供理论基础。
Building on work of Hansen (1992, Econometric Theory 8, 489–501), we show weak convergence for power transformations of integrated processes, with possibly serially correlated and heterogeneously distributed increments, to stochastic power integrals. The theory is applicable when testing the unit root or cointegration hypothesis in nonlinear systems by regression-based test statistics.