ASYMPTOTICS FOR TIME-VARYING VECTOR MA( $\infty $ ) PROCESSES

Yayi Yan, Jiti Gao and Bin Peng

Econometric Theory, 2025, vol. 41, issue 3, 584-616

Abstract: This paper introduces a new class of time-varying vector moving average processes of infinite order. These processes serve dual purposes: (1) they can be used to model time-varying dependence structures, and (2) they can be used to establish asymptotic theories for multivariate time series models. To illustrate these two points, we first establish some fundamental asymptotic properties and use them to infer the trending term of a vector moving average infinity process. We then investigate a class of time-varying VARX models. Finally, we demonstrate the empirical relevance of the theoretical results using extensive simulated and real data studies.

Date: 2025
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