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Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes

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Davidson, James

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 106 (2002)
Issue (Month): 2 (February)
Pages: 243-269
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Handle: RePEc:eee:econom:v:106:y:2002:i:2:p:243-269

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  1. Guglielmo Maria Caporale & Christos Ntantamis & Theologos Pantelidis & Nikitas Pittis, 2004. "The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study," Public Policy Discussion Papers 04-14, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    Other versions:
  2. Lutz Kilian & Atsushi Inoue, 2003. "On the selection of forecasting models," Working Paper Series 214, European Central Bank. [Downloadable!]
    Other versions:
  3. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO. [Downloadable!]
  4. Ulrich Mueller & Mark W. Watson, 2006. "Testing Models of Low-Frequency Variability," NBER Working Papers 12671, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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