Stochastic Limit Theory
This book is about limit theorems in probability theory in the context of econometrics. It is written for econometricians and therefore includes a careful and thorough introductory part covering the required mathematical background, but most of the material is also useful to mathematicians with an interest in the area of stochastic limit theorems for sequences of dependent random variables. Given the wealth of carefully presented material covered on more than 500 pages, the price of \textsterling 25 for (the paperback version of) the book is a very pleasant surprise. In more detail, the book contains 30 chapters grouped into six roughly equal parts. Part I covers general mathematical background material and in particular measure theory and integration, metric spaces and topology. Part II about probability contains chapters about probability spaces, random variables, expectations, conditioning and characteristic functions. Part III then deals with stochastic processes in discrete time and more precisely with those topics that are of importance for econometric modelling and asymptotics. The subjects include dependence, mixing, martingales, mixingales and near-epoch dependence. Broadly speaking, the overall goal here is to present in detail various forms of dependence structures for sequences of random variables that still allow one to obtain limit theorems. In part IV, stochastic limit theory then starts in earnest. After an explanation of various convergence concepts from probability, weak and strong laws of large numbers are discussed in detail for a wide range of situations. A chapter on uniform stochastic convergence concludes this part. Part V is concerned with the central limit theorem. It explains weak convergence of distributions on the real line, presents first the classical CLT and then CLTs for dependent processes including martingales and stationary ergodic sequences, and concludes with some extensions to estimated normalizations, random norming, error estimates and the multivariate CLT. Finally, part VI is about functional limit theorems. It first discusses weak convergence in general metric spaces and then on the space of continuous functions and on the Skorokhod space. Chapter 29 presents several results about weak convergence to (possibly time-changed) Brownian motion, and the final Chapter 30 contains more recent results on weak convergence to stochastic integrals of a Brownian motion. In summary, this book is an excellent self-contained presentation of weak convergence results for a very broad range of dependent sequences of random variables having finite variances. As noted in the introduction, one notable missing topic is convergence to stable laws for sequences with infinite variances. In view of the amount of recent work on financial time series, it might be useful to include such results in a next edition of an otherwise very comprehensive book.
- Stochastic limit theory. An introduction for econometricians
- Limit theorems for individual-based models in economics and finance
- scientific article; zbMATH DE number 7228943
- Weak convergence to stochastic integrals for econometric applications
- A limit theorem for random matrices with a multiparameter and its application to a stochastic model of a large economy
- scientific article; zbMATH DE number 44037
- scientific article; zbMATH DE number 699434
- scientific article; zbMATH DE number 3858099
- Stochastic methods in economics and finance
- Robust estimation for ARMA models
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Break detection in the covariance structure of multivariate time series models
- Panel data analysis with heterogeneous dynamics
- Minimum distance estimation of stationary and non‐stationary ARFIMA processes
- Ensemble binary segmentation for irregularly spaced data with change-points
- Testing for structural change in conditional models
- Partially adaptive estimation of autoregressive processes via a normal mixture
- Nonstationary-volatility robust panel unit root tests and the great moderation
- Multiple break detection in the correlation structure of random variables
- Neighbourhood GMM estimation of dynamic panel data models
- A residual-based multivariate constant correlation test
- Dating multiple change points in the correlation matrix
- A test of the long memory hypothesis based on self-similarity
- On asymptotic normality of certain linear rank statistics
- Alternative tests for correct specification of conditional predictive densities
- Testing for common breaks in a multiple equations system
- Variable screening for high dimensional time series
- Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients
- Structural change tests for simulated method of moments.
- A functional version of the Birkhoff ergodic theorem for a normal integrand: A variational approach
- Gaussian approximation theorems for urn models and their applications
- On a class of minimum contrast estimators for fractional stochastic processes and fields
- A central limit theorem for strong near-epoch dependent random variables
- Are ``nearly exogenous instruments reliable?
- Online expectation maximization based algorithms for inference in hidden Markov models
- Limit theorems for network dependent random variables
- Spectral analysis of multifractional LRD functional time series
- Mixing sequences, and mixingales in quantum probability spaces
- Quantifying the data-dredging bias in structural break tests
- Estimating a gradual parameter change in an AR(1)-process
- Efficient estimation of heterogeneous coefficients in panel data models with common shocks
- Robust estimation and inference of spatial panel data models with fixed effects
- Heterogeneous panel data models with cross-sectional dependence
- Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
- Regression discontinuity designs, white noise models, and minimax
- Infinitely stochastic micro reserving
- Diversification benefits in the cryptocurrency market under mild explosivity
- Simultaneous confidence bands for functional data using the Gaussian kinematic formula
- Asymptotic properties of conditional least-squares estimators for array time series
- Nonparametric M-estimation for functional stationary ergodic data
- A likelihood ratio test for spatial model selection
- A new consistency proof for HAC variance estimators
- Clustering time series by linear dependency
- Unit root tests for cross-sectionally dependent panels: the influence of observed factors
- Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
- Cycle symmetry, limit theorems, and fluctuation theorems for diffusion processes on the circle
- Inferences in panel data with interactive effects using large covariance matrices
- Spurious regression due to neglected of non-stationary volatility
- Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models
- Depth-averaged modelling of turbulent shallow water flow with wet-dry fronts
- Modeling statistical dependence of Markov chains via copula models
- Leave-one-out cross-validation is risk consistent for Lasso
- Conditional least squares and copulae in claims reserving for a single line of business
- A uniform law for convergence to the local times of linear fractional stable motions
- Semiparametric tests of conditional moment restrictions under weak or partial identification
- Testing serial independence with functional data
- Quasi score-driven models
- A new test for checking the equality of the correlation structures of two time series
- Optimal semiparametric inference for the tail index based on ratios of the largest extremes
- Parametric and semi-parametric efficient tests for parameter instability
- Tests for linearity in star models: SupWald and LM-type tests
- Monitoring changes in RCA models
- Weak convergence and its application
- On the autopersistence functions and the autopersistence graphs of binary autoregressive time series
- Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
- Testing for parameter constancy in non-Gaussian time series
- On asymptotic normality of the local polynomial regression estimator with stochastic bandwidths
- Testing for a change in correlation at an unknown point in time using an extended functional delta method
- Estimation and inference of the vector autoregressive process under heteroscedasticity
- Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models
- Weak convergence of stochastic processes. With applications to statistical limit theorems
- Cointegration rank testing under conditional heteroskedasticity
- Weak and strong cross-section dependence and estimation of large panels
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
- Short-memory linear processes and econometric applications.
- Mixing conditions, central limit theorems, and invariance principles: A survey of the literature with some new results on heteroscedastic sequences
- Thick Pen Transformation for Time Series
- TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
- The moving blocks bootstrap for panel linear regression models with individual fixed effects
- Cointegrating regressions with messy regressors and an application to mixed-frequency series
- Nonparametric estimation for dependent data
- Parameter estimation in nonlinear AR-GARCH models
- Predicting Panel Data Binary Choice with the Gibbs Posterior
- Bootstrap in nonstationary autoregression.
- Estimation of variances in a heteroscedastic RCA(1) model.
- Linearity tests and stationarity
- Unit Root Tests under Time-Varying Variances
- Nonparametric density forecast based on time- and state-domain
- PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
- Testing for a unit root in a stationary ESTAR process
- Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
- Myopic loss aversion and margin of safety: the risk of value investing
- Testing the Null of Co-integration in the Presence of Variance Breaks
- Inference in Autoregression under Heteroskedasticity
- Testing for a unit root in noncausal autoregressive models
- Bootstrapping Autoregression under Non-stationary Volatility
- A bootstrap procedure for panel data sets with many cross-sectional units
- Dynamic Copula-Based Markov Time Series
- General trimmed estimation: robust approach to nonlinear and limited dependent variable models
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