The role of Skorokhod space in the development of the econometric analysis of time series

• Date: 2008
• Main Author: Mccrorie, J.R.
• Format: Article
• Language: English
• Published: Інститут математики НАН України 2008
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/4539
• Journal Title: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Cite this: The role of Skorokhod space in the development of the econometric analysis of time series / J.R. Mccrorie // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 1. — С. 82–94. — Бібліогр.: 113 назв.— англ.

This paper discusses the fundamental role played by the Skorokhod space, through its underpinning of functional central limit theory, in the development of the paradigm of unit roots and co-integration. This paradigm has fundamentally affected the way economists approach economic time series as was...