Chunlin Fan
 

Department of Mathematics, Washington University
 

Title: Functional central limit theorem and nonlinear transformation of I(1) process
 

Abstract: The asymptotic behaviour of regression statistics based on the integrated process has received the intensive attention in econometric theory. In this talk, T will talk about the functional central limit theorem and some weak convergence results for sample averages of nonlinear functions of integrated process satisfying the functional central limit theorem.