Weak convergence in the near unit root setting

DOI10.1016/J.SPL.2013.01.029zbMATH Open1287.60030OpenAlexW2095563562MaRDI QIDQ385116FDOQ385116

Authors: N. Bailey, L. Giraitis 

Publication date: 29 November 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.01.029

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zbMATH Keywords

weak convergencelinear processnear unit root

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Sums of independent random variables; random walks (60G50)

Cites Work

• Asymptotics for linear processes
• Title not available (Why is that?)
• Asymptotic inference for nearly nonstationary AR(1) processes
• Limit theory for moderate deviations from a unit root
• Large sample inference for long memory processes
• Towards a unified asymptotic theory for autoregression
• Central limit theorem for stationary linear processes
• Uniform Limit Theory for Stationary Autoregression
• Asymptotic normality for weighted sums of linear processes
• Mean and autocovariance function estimation near the boundary of stationarity

Cited In (1)

• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS

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