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
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Authors: | Mynbaev, Kairat T. |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 25.2009, 03, p. 748-763
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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