SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE

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

Mathematics Subject Classification ID

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 (3)

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

This page was built for publication: SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE