Asymptotics for Linear Processes

Peter Phillips and Victor Solo
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Victor Solo: Johns Hopkins University

No 932, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: A method of deriving asymptotics for linear processes is introduced which uses an explicit algebraic decomposition of the linear filter. The method leads to substantial simplifications in the asymptotics and offers a unified approach to strong laws and central limit theory for linear processes. Sample means and sample covariances are covered. The results also accommodate both homogeneous and heterogeneous innovations as well as innovations with undefined means and variances.

Keywords: Central limit theory; asymptotic theory; linear processes (search for similar items in EconPapers)
Pages: 48 pages
Date: 1989-10
Note: CFP 815.
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Citations: View citations in EconPapers (72)

Published in Annals of Statistics (1992), 20(2): 971-1001

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