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On Conditions in Central Limit Theorems for Martingale Difference Arrays Long Version

Listed author(s):
  • Abdelkamel Alj
  • Rajae Azrak
  • Guy Melard
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    No abstract is available for this item.

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    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/154446/1/2014-05-ALJ_RAJAE_MELARD-onconditions.pdf
    File Function: 2014-05-ALJ_RAJAE_MELARD-onconditions
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    Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2014-05.

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    Length: 9 p.
    Date of creation: Jan 2014
    Publication status: Published by:
    Handle: RePEc:eca:wpaper:2013/154446
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    Av. F.D., Roosevelt, 39, 1050 Bruxelles

    Phone: (32 2) 650 30 75
    Fax: (32 2) 650 44 75
    Web page: http://difusion.ulb.ac.be

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    1. Magdalinos, Tassos & Phillips, Peter C.B., 2009. "Limit Theory For Cointegrated Systems With Moderately Integrated And Moderately Explosive Regressors," Econometric Theory, Cambridge University Press, vol. 25(02), pages 482-526, April.
    2. Rajae Azrak & Guy Mélard, 2006. "Asymptotic Properties of Quasi-Maximum Likelihood Estimators for ARMA Models with Time-Dependent Coefficients," Statistical Inference for Stochastic Processes, Springer, vol. 9(3), pages 279-330, October.
    3. Kourogenis, Nikolaos & Pittis, Nikitas, 2010. "Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator," Economics Letters, Elsevier, vol. 106(2), pages 84-86, February.
    4. Kuersteiner, Guido M. & Prucha, Ingmar R., 2013. "Limit theory for panel data models with cross sectional dependence and sequential exogeneity," Journal of Econometrics, Elsevier, vol. 174(2), pages 107-126.
    5. Rajae Azrak & Guy Melard, 2006. "Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients," ULB Institutional Repository 2013/13758, ULB -- Universite Libre de Bruxelles.
    6. Phillips, Peter C.B. & Magdalinos, Tassos, 2007. "Limit theory for moderate deviations from a unit root," Journal of Econometrics, Elsevier, vol. 136(1), pages 115-130, January.
    7. Xu, Ke-Li, 2008. "Testing against nonstationary volatility in time series," Economics Letters, Elsevier, vol. 101(3), pages 288-292, December.
    8. Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.
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