Strong laws of large numbers for dependent heterogeneous processes: a synthesis of recent and new results

James Davidson () and Robert de Jong

Econometric Reviews, 1997, vol. 16, issue 3, 251-279

Abstract: This paper surveys recent developments in the strong law of large numbers for dependent heterogeneous processes. We prove a generalised version of a recent strong law for Lz-mixingales, and also a new strong law for Lpmixingales. These results greatly relax the dependence and heterogeneity conditions relative to those currently cited, and introduce explicit trade-offs between dependence and heterogeneity. The results are applied to proving strong laws for near-epoch dependent functions of mixing processes. We contrast several methods for obtaining these results, including mapping directly to the mixingale properties, and applying a truncation argument.

Keywords: Strong law of large numbers; mixing; mixingales; near-epoch dependence; JEL Classification: C19 (search for similar items in EconPapers)
Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474939708800387 (text/html)
Access to full text is restricted to subscribers.

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:taf:emetrv:v:16:y:1997:i:3:p:251-279

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474939708800387

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().