A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE

Christian Francq () and Zako an, Jean-Michel
Authors registered in the RePEc Author Service: Jean-Michel Zakoian ()

Econometric Theory, 2005, vol. 21, issue 06, pages 1165-1171

Abstract: conditions ensuring a central limit theorem for strongly mixing triangular arrays are given. larger samples can show longer range dependence than shorter samples. the result is obtained by constraining the rate growth of dependence as a function of the sample size, with the usual trade-off of memory and moment conditions. an application to heteroskedasticity and autocorrelation consistent estimators is proposed.

Date: 2005

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466605050577 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:21:y:2005:i:06:p:1165-1171_05

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().