On conditions in central limit theorems for martingale difference arrays

Abdelkamel Alj, Rajae Azrak and Guy Mélard

Economics Letters, 2014, vol. 123, issue 3, 305-307

Abstract: An alternative central limit theorem for martingale difference arrays is presented. It can be deduced from the literature but it is not stated as such. It can be very useful for statisticians and econometricians. An illustration is given in the context of ARMA models with time-dependent coefficients. This note ends with a discussion about the conditions.

Keywords: Unconditional Lyapunov condition; Conditional Lindeberg condition; Unconditional Lindeberg condition; Conditional Lyapunov condition; Time series analysis (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176514000998
Full text for ScienceDirect subscribers only

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: https://EconPapers.repec.org/RePEc:eee:ecolet:v:123:y:2014:i:3:p:305-307

DOI: 10.1016/j.econlet.2014.03.008

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().