Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals

摘要

This work considers sample moments arising from least squares, least absolute deviation, and extremum estimators of linear and nonlinear multivariate systems with I(1) regressors. The sample moments are shown to converge weakly to multivariate stochastic power integrals, and these results can be considered as a multivariate generalization of the univariate results reported earlier.