SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE
From MaRDI portal
Publication:4561984
DOI10.1017/S0266466603195060zbMath1441.62725OpenAlexW2106905624MaRDI QIDQ4561984
No author found.
Publication date: 14 December 2018
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466603195060
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Functional limit theorems; invariance principles (60F17)
Related Items
Linearity tests under the null hypothesis of a random walk with drift, On the maximum of covariance estimators, An asymptotic theory for sample covariances of Bernoulli shifts
Cites Work
- Unnamed Item
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Asymptotics for linear processes
- Heteroskedastic cointegration
- Stochastic cointegration: estimation and inference.
- A CENTRAL LIMIT THEOREM FOR m(n) AUTOCOVARIANCES
- Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models