Weak convergence in the near unit root setting

DOI10.1016/j.spl.2013.01.029zbMath1287.60030OpenAlexW2095563562MaRDI QIDQ385116

Liudas Giraitis, Natalia Bailey

Publication date: 29 November 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.01.029

zbMATH Keywords

weak convergencelinear processnear unit root

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Sums of independent random variables; random walks (60G50)

Cites Work

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• Limit theory for moderate deviations from a unit root
• Mean and autocovariance function estimation near the boundary of stationarity
• Central limit theorem for stationary linear processes
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotics for linear processes
• Uniform Limit Theory for Stationary Autoregression
• Towards a unified asymptotic theory for autoregression
• ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES

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