Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 3, 2008 erstellt
Description:
This paper is concerned with the weak convergence of the discount sums (so-called Abel summations) of moving averages. We extends the results established by Omey (1984) into the dependent case. As a simple illustration, we derive the asymptotic distributions of the Dicky-Fuller test for unit root in the case when the innovations of an AR(1) process are serially correlated and nearly heteroskedastic