He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 8, 2005
T 1PTt=1 Eu2t
such that 2u 2 (0;1).
Proof. See Appendix A.
Note that under the null hypothesis (10), ' 01 = 11. It … 1
TX
t=1
(t=T)p 2t;
where 2t = E(u2t). The condition supt2NEjutj < 1, where > 2 and (t=T)p 2 [0;1]
implies that P1t … dW0t(r) = (pTut= )dr, to obtain the result,
by direct integration, at the last line. Moreover, because the integral in …