ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES

We establish asymptotic normality of weighted sums of linear processes with general triangular array weights and when the innovations in the linear process are martingale differences. The results are obtained under minimal conditions on the weights and innovations. We also obtain weak convergence of...

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Veröffentlicht in:	Econometric theory 2014-02, Vol.30 (1), p.252-284
Hauptverfasser:	Abadir, Karim M., Distaso, Walter, Giraitis, Liudas, Koul, Hira L.
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Brownian motion Cointegration Covariance Decomposition Density estimation Econometric models Econometrics Economic models Economic theory Ergodic theory Estimators Fourier transforms GARCH models Linear models Martingales Mathematics Memory Normal distribution Partial sums Random variables Regression analysis Stationary processes Studies Time series Unit root Vector-autoregressive models
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