The variance of partial sums of strong near-epoch dependent variables

Jin Qiu and Zhengyan Lin

Statistics & Probability Letters, 2006, vol. 76, issue 17, 1845-1854

Abstract: In this paper, we discuss the lower bound for the variance of partial sums of strong near-epoch dependent variables under quite weak conditions. By suitably applying this result, we derive the limit behavior of the variance of the partial sums, which is especially useful in studying the large sample properties for econometric time series models with strong near-epoch dependent innovations.

Keywords: Strong; near-epoch; dependence; Near-epoch; dependence; Variance; of; partial; sums (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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