Central limit theorems for time series regression

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Erratum to: ``An invariance principle for stationary random fields under Hannan's condition ⋮ ASYMPTOTIC BEHAVIOUR OF DISCRETE LINEAR PROCESSES ⋮ Limit theorems for weighted Bernoulli random fields under Hannan's condition ⋮ Simultaneous Statistical Inference in Dynamic Factor Models ⋮ CENTRAL LIMIT THEOREMS FOR FINITE WALSH-FOURIER TRANSFORMS OF WEAKLY STATIONARY TIME SERIES ⋮ LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES ⋮ Unit root log periodogram regression ⋮ On the weak invariance principle for non-adapted stationary random fields under projective criteria ⋮ Limit theorems and inequalities via martingale methods ⋮ Asymptotic distribution of least squares estimators for linear models with dependent errors: regular designs ⋮ ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES ⋮ Invariance principle via orthomartingale approximation ⋮ (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES ⋮ TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES ⋮ Functional weak limit theorem for a local empirical process of non-stationary time series and its application ⋮ On weak invariance principles for partial sums ⋮ The central limit theorem for time series regression ⋮ Self-normalized Cramér type moderate deviations for stationary sequences and applications ⋮ Hölderian weak invariance principle under a Hannan type condition ⋮ A Berry-Esseen bound with (almost) sharp dependence conditions ⋮ Invariance principles for linear processes with application to isotonic regression ⋮ On the quenched central limit theorem for stationary random fields under projective criteria ⋮ Latent variable models for time series. A frequency domain approach with an application to the permanent income hypothesis ⋮ Quenched central limit theorems for sums of stationary processes ⋮ Stochastic approximation with dependent noise ⋮ Asymptotic distribution of least square estimators for linear models with dependent errors ⋮ Nonlinear system theory: Another look at dependence ⋮ WALSH-FOURIER ANALYSIS OF DISCRETE-VALUED TIME SERIES ⋮ Asymptotic spectral theory for nonlinear time series ⋮ Least squares estimation of ARCH models with missing observations ⋮ A functional CLT for fields of commuting transformations via martingale approximation ⋮ Effects of misspecification of lag structure in certain two-variable distributed lag models ⋮ A NOTE ON A CENTRAL LIMIT THEOREM FOR STATIONARY PROCESSES ⋮ THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS ⋮ On false discovery control under dependence ⋮ On piecewise polynomial regression under general dependence conditions, with an application to calcium-imaging data ⋮ NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION ⋮ On linear processes with dependent innovations ⋮ Multivariate time series analysis ⋮ On a multivariate central limit theorem for stationary bilinear processes ⋮ Estimation of frequency by random sampling ⋮ \(M\)-estimation of linear models with dependent errors ⋮ An asymptotic theory for sample covariances of Bernoulli shifts ⋮ Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap ⋮ A bootstrap-assisted spectral test of white noise under unknown dependence ⋮ Central limit theorem under the Dedecker-Rio condition in some Banach spaces ⋮ On the quenched functional central limit theorem for stationary random fields under projective criteria ⋮ Huber-Dutter estimation of linear models with dependent errors ⋮ An invariance principle for stationary random fields under Hannan's condition ⋮ Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series ⋮ Weak linear representation of M-estimaton in GLMs with dependent errors ⋮ A law of the iterated logarithm for an estimate of frequency ⋮ On the weak invariance principle for ortho-martingale in Banach spaces. Application to stationary random fields ⋮ Two-step two-stage least squares estimation in models with rational expectations ⋮ An efficient two-step estimator for the dynamic adjustment model with autoregressive errors ⋮ A wavelet analysis for time series ⋮ NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS ⋮ Testing nonnested Euler conditions with quadrature-based methods of approximation ⋮ REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES ⋮ On the optimality of McLeish's conditions for the central limit theorem ⋮ Higher order approximations for Wald statistics in time series regressions with integrated processes. ⋮ Quenched Invariance Principles via Martingale Approximation

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