A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes

James Davidson ()

Econometric Theory, 1992, vol. 8, issue 3, 313-329

Abstract: A central limit theorem is proved for dependent stochastic processes. Global heterogeneity of the distribution of the terms is permitted, including asymptotically unbounded moments. The approach is to adapt a CLT for martingale differences due to McLeish and show that suitably defined Bernstein blocks satisfy the required conditions.

Date: 1992
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