On Asymptotics of the Sample Distribution for a Class of Linear Process Models in Economics

Let … be a moving average process of infinite order where the innovations ε(k) are in the domain of attraction of a stable law with index α ε (0, 2) and the parameter sequence decreases at a polynomial or exponential rate. These and similar processes have recently received increased attention both in the econometrics and statistics/probability literature. The present paper studies almost sure uniform rates of convergence of the empirical distribution function. Applications of these infinite variance processesin econometrics are mentioned.