A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes

A central limit theorem is proved for dependent stochastic processes. Global heterogeneity of the distribution of the terms is permitted, including asymptotically unbounded moments. The approach is to adapt a CLT for martingale differences due to McLeish and show that suitably defined Bernstein blocks satisfy the required conditions.

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Year of publication:	1992
Authors:	Davidson, James
Published in:	Econometric Theory. - Cambridge University Press. - Vol. 8.1992, 03, p. 313-329
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008739966