A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields

Michael C. Tseng

Papers from arXiv.org

Abstract: We obtain an elementary invariance principle for multi-dimensional Brownian sheet where the underlying random fields are not necessarily independent or stationary. Possible applications include unit-root tests for spatial as well as panel data models.

Date: 2019-10
New Economics Papers: this item is included in nep-ecm
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