Asymptotics for Linear Processes
A method of deriving asymptotics for linear processes is introduced which uses an explicit algebraic decomposition of the linear filter. The method leads to substantial simplifications in the asymptotics and offers a unified approach to strong laws and central limit theory for linear processes. Sample means and sample covariances are covered. The results also accommodate both homogeneous and heterogeneous innovations as well as innovations with undefined means and variances.
|Date of creation:||Oct 1989|
|Publication status:||Published in Annals of Statistics (1992), 20(2): 971-1001|
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|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
References listed on IDEAS
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- Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
- Peter C.B. Phillips, 1988.
"Optimal Inference in Cointegrated Systems,"
Cowles Foundation Discussion Papers
866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
- Bewley, R. A., 1979. "The direct estimation of the equilibrium response in a linear dynamic model," Economics Letters, Elsevier, vol. 3(4), pages 357-361.
- Peter C. B. Phillips & Mico Loretan, 1991.
"Estimating Long-run Economic Equilibria,"
Review of Economic Studies,
Oxford University Press, vol. 58(3), pages 407-436.
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