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Central Limit Theorems For Weighted Sums Of Linear Processes: Lp -Approximability Versus Brownian Motion

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Author Info
Mynbaev, Kairat T.

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Abstract

Standardized slowly varying regressors are shown to be Lp-approximable. This fact allows us to provide alternative proofs of asymptotic expansions of nonstochastic quantities and central limit results due to P.C.B. Phillips, under a less stringent assumption on linear processes. The recourse to stochastic calculus related to Brownian motion can be completely dispensed with.

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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 25 (2009)
Issue (Month): 03 (June)
Pages: 748-763
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Handle: RePEc:cup:etheor:v:25:y:2009:i:03:p:748-763_09

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