The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case (Now published in Economic Theory 9 (1993), pp.402-412.)

James Davidson

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: The central limit theorem in Davidson (1992a) is extended to allow cases where the variances of sequence coordinates can be tending to zero. A trade off is demonstrated between the degree of dependence (mixing size) and the rate of degeneration. For the martingale difference case, it is sufficient for a sum of the variances to diverge at the rate of log n.

Keywords: Central limit theorem; sequence coordinates; rate of degeneration; mixing processes; Martingale difference. (search for similar items in EconPapers)
Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:243

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