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CENTRAL LIMIT THEOREMS FOR WEIGHTED SUMS OF LINEAR PROCESSES: LP -APPROXIMABILITY VERSUS BROWNIAN MOTION

Standardized slowly varying regressors are shown to be <italic>L</italic>-approximable. This fact allows us to provide alternative proofs of asymptotic expansions of nonstochastic quantities and central limit results due to P.C.B. Phillips, under a less stringent assumption on linear processes. The recourse to stochastic calculus related to Brownian motion can be completely dispensed with.
Year of publication:
2009
Authors: Mynbaev, Kairat T.
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 25.2009, 03, p. 748-763
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10004972604
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