Convergence to Stochastic Integrals for Dependent Heterogeneous Processes

Convergence of Probability Measures

1999 • 14,297 citations

Convergence of Probability Measures

1969 • 7,189 citations

Martingale Limit Theory and its Application.

1984 • 2,982 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

Martingale Limit Theory and its Application

1980 • 2,084 citations

Stochastic Integration and Differential Equations

1990 • 1,167 citations

Tests for Parameter Instability in Regressions with 1(1) Processes

1992 • 984 citations

Stochastic Integration and Differential Equations : A New Approach

2014 • 756 citations

Towards a unified asymptotic theory for autoregression

1987 • 734 citations

Statistical Inference in Regressions with Integrated Processes: Part 1

1988 • 703 citations

Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes

1988 • 649 citations

Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations

1991 • 535 citations

Statistical Inference in Regressions with Integrated Processes: Part 2

1989 • 534 citations

Asymptotic Inference for Nearly Nonstationary AR(1) Processes

1987 • 489 citations

A Maximal Inequality and Dependent Strong Laws

1975 • 437 citations

Regression Theory for Near-Integrated Time Series

1988 • 359 citations

Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables

1988 • 305 citations

Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes

1988 • 271 citations

Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations

1988 • 128 citations

A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept

1991 • 99 citations

On the Asymptotic Behavior of Least-Squares Estimators in AR Time Series with Roots Near the Unit Circle

1991 • 64 citations

Heteroskedastic cointegration

1992 • 61 citations

Martingale difference arrays and stochastic integrals

1986 • 60 citations

Weak convergence to the matrix stochastic integral ∫01 B dB′

1988 • 35 citations

A Continuous Time Approximation to the Stationary First-Order Autoregressive Model

1991 • 18 citations