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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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    1. John A. Tauras & Patrick M. O'Malley & Lloyd D. Johnston, 2001. "Effects of Price and Access Laws on Teenage Smoking Initiation: A National Longitudinal Analysis," NBER Working Papers 8331, National Bureau of Economic Research, Inc.
    2. John A. Tauras, 1999. "The Transition to Smoking Cessation: Evidence from Multiple Failure Duration Analysis," NBER Working Papers 7412, National Bureau of Economic Research, Inc.
    3. Suranovic, Steven M. & Goldfarb, Robert S. & Leonard, Thomas C., 1999. "An economic theory of cigarette addiction," Journal of Health Economics, Elsevier, vol. 18(1), pages 1-29, January.
    4. Labeaga, Jose M., 1999. "A double-hurdle rational addiction model with heterogeneity: Estimating the demand for tobacco," Journal of Econometrics, Elsevier, vol. 93(1), pages 49-72, November.
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