SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE
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Publication:4561984
DOI10.1017/S0266466603195060zbMath1441.62725MaRDI QIDQ4561984
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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
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models
60F17: Functional limit theorems; invariance principles
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