On Conditions in Central Limit Theorems for Martingale Difference Arrays Long Version
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|Date of creation:||Jan 2014|
|Publication status:||Published by:|
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- 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.
- 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.
- Xu, Ke-Li, 2008. "Testing against nonstationary volatility in time series," Economics Letters, Elsevier, vol. 101(3), pages 288-292, December.
- 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. Full references (including those not matched with items on IDEAS)
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