Central limit theorems for time series regression

Cites Work

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Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
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Multiple Equation Systems with Stationary Errors
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Martingale Central Limit Theorems
Non-linear time series regression

Cited In (62)

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

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