The variance of partial sums of strong near-epoch dependent variables

In this paper, we discuss the lower bound for the variance of partial sums of strong near-epoch dependent variables under quite weak conditions. By suitably applying this result, we derive the limit behavior of the variance of the partial sums, which is especially useful in studying the large sample properties for econometric time series models with strong near-epoch dependent innovations.

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Year of publication:	2006
Authors:	Qiu, Jin ; Lin, Zhengyan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 17, p. 1845-1854
Publisher:	Elsevier
Keywords:	Strong near-epoch dependence Near-epoch dependence Variance of partial sums

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

Persistent link: https://www.econbiz.de/10005074790