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

Kairat T. Mynbaev ()

Econometric Theory, 2009, vol. 25, issue 03, pages 748-763

Abstract: Standardized slowly varying regressors are shown to be Lp-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.

Date: 2009

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