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Dependence and stochastic limit theory (in Russian)

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  • Jonathan Hill

    (University of North Carolina, Chapel Hill, USA)

Abstract

In this essay we provide the basic asymptotic theory that serves as background theory for estimators in time series. We outline concepts of dependence used for stochastic limit theory, covering mixing, mixingale and near epoch dependence properties. We then detail some of the most general probability and distribution limit theorems for these processes popularly employed for time series theory and applications.

Suggested Citation

  • Jonathan Hill, 2012. "Dependence and stochastic limit theory (in Russian)," Quantile, Quantile, issue 10, pages 1-31, December.
  • Handle: RePEc:qnt:quantl:y:2012:i:10:p:1-31
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    References listed on IDEAS

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    1. Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037.
    2. Andrej Cieslik & Anna Michalek & Jan Jakub Michalek & Jerzy Mycielski, 2015. "Determinants of Export Performance: Comparison of Central European and Baltic Firms," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(3), pages 211-229, May.
    3. Hanspeter Gassmann, 2001. "An International Perspective on I&C Policies: Recent Developments and Future Prospects," Prometheus, Taylor & Francis Journals, vol. 19(4), pages 337-345.
    4. FAUCOMPRET, Erik & MEERSMAN, Hilde & GEERAERT, Emiel & JEGERS, Marc & HENDRICKX, Koen & VAN DE VOORDE, Eddy & NONNEMAN, Walter & ROOSENS, Paul & VANHOUDT, Patrick & KERSTENS, Kristiaan & BLAUWENS, G. , 1996. "FAUCOMPRET, Erik: "Europe's post-war recovery (Barry EICHENGREEN, Cambridge University Press, 1995)" (p. 527); MEERSMAN, Hilde: "Applied econometric time series (Walter ENDERS, John Wil," Economic and Social Journal (Economisch en Sociaal Tijdschrift), University of Antwerp, Faculty of Applied Economics, vol. 50(3), pages 527-551, September.
    5. Eckhard Liebscher, 2005. "Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 669-689, September.
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