Asymptotic normality for weighted sums of linear processes
File(s)Econometric Theory_2013.pdf (291.16 KB)
Accepted version
Author(s)
Abadir, Karim M
Distaso, Walter
Giraitis, Liudas
Koul, Hira L
Type
Journal Article
Abstract
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 weighted partial sum processes. The results are applicable to linear processes that have short or long memory or exhibit seasonal long memory behavior. In particular, they are applicable to GARCH and ARCH(∞) models and to their squares. They are also useful in deriving asymptotic normality of kernel-type estimators of a nonparametric regression function with short or long memory moving average errors.
Date Issued
2014-02-01
Date Acceptance
2013-08-01
Citation
Econometric Theory, 2014, 30 (1), pp.252-284
ISSN
0266-4666
Publisher
Cambridge University Press
Start Page
252
End Page
284
Journal / Book Title
Econometric Theory
Volume
30
Issue
1
Copyright Statement
Copyright © Cambridge University Press 2013 . The final publication is available via Cambride Journals Online at http://dx.doi.org/10.1017/S0266466613000182
Sponsor
Economic & Social Research Council (ESRC)
Grant Number
ES/F015909/1
Subjects
Social Sciences
Science & Technology
Physical Sciences
Economics
Mathematics, Interdisciplinary Applications
Social Sciences, Mathematical Methods
Statistics & Probability
Business & Economics
Mathematics
Mathematical Methods In Social Sciences
CENTRAL-LIMIT-THEOREM
FRACTIONAL BROWNIAN-MOTION
AUTOREGRESSIVE TIME-SERIES
UNIT-ROOT
CONDITIONAL HETEROSKEDASTICITY
STOCHASTIC VOLATILITY
INVARIANCE-PRINCIPLE
STATIONARY-PROCESSES
REGRESSION
MODELS
0104 Statistics
1403 Econometrics
Econometrics
Publication Status
Published