The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case (Now published in Economic Theory 9 (1993), pp.402-412.)

The central limit theorem in Davidson (1992a) is extended to allow cases where the variances of sequence coordinates can be tending to zero. A trade off is demonstrated between the degree of dependence (mixing size) and the rate of degeneration. For the martingale difference case, it is sufficient for a sum of the variances to diverge at the rate of log n.

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Year of publication:	1992
Authors:	Davidson, James
Institutions:	Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Subject:	Central limit theorem \| sequence coordinates \| rate of degeneration \| mixing processes \| Martingale difference

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Series:	STICERD - Econometrics Paper Series.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010720252