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The variance of partial sums of strong near-epoch dependent variables

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  • Qiu, Jin
  • Lin, Zhengyan

Abstract

In this paper, we discuss the lower bound for the variance of partial sums of strong near-epoch dependent variables under quite weak conditions. By suitably applying this result, we derive the limit behavior of the variance of the partial sums, which is especially useful in studying the large sample properties for econometric time series models with strong near-epoch dependent innovations.

Suggested Citation

  • Qiu, Jin & Lin, Zhengyan, 2006. "The variance of partial sums of strong near-epoch dependent variables," Statistics & Probability Letters, Elsevier, vol. 76(17), pages 1845-1854, November.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:17:p:1845-1854
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    References listed on IDEAS

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    1. de Jong, Robert M. & Davidson, James, 2000. "The Functional Central Limit Theorem And Weak Convergence To Stochastic Integrals I," Econometric Theory, Cambridge University Press, vol. 16(5), pages 621-642, October.
    2. Davidson, James, 2002. "Corrigendum to "Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes": [Journal of Econometrics 106 (2) (2002) 243-269]," Journal of Econometrics, Elsevier, vol. 110(1), pages 103-104, September.
    3. de Jong, Robert M., 1997. "Central Limit Theorems for Dependent Heterogeneous Random Variables," Econometric Theory, Cambridge University Press, vol. 13(3), pages 353-367, June.
    4. Davidson, James, 1992. "A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes," Econometric Theory, Cambridge University Press, vol. 8(3), pages 313-329, September.
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    Cited by:

    1. Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.

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