Trenkler, Carsten - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
),
GLS⁄1(r0) and GLS⁄2(r0) by referring to weak convergence in Pr0;T probability. As described
by Swensen (2005a), this means …
convergence properties of ^„1, ~„0, and ~„1 assure that the adjusted series ^yct = yt ¡ ^„1t and
~xt = yt ¡ ~„0 ¡ ~„1t can …, i.e. with respect to the
measure P⁄r0;T. Given that, we obtain the conditional convergence and distributional properties …