ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES

作者：Abadir Karim M; Distaso Walter; Giraitis Liudas^*; Koul Hira L

来源：Econometric Theory, 2014, 30(1): 252-284.

DOI：10.1017/S0266466613000182

We establish asymptotic normality of weighted sums of linear processes with general triangular array weights and when the innovations in the linear process are martingale differences. The results are obtained under minimal conditions on the weights and innovations. We also obtain weak convergence of weighted partial sum processes. The results are applicable to linear processes that have short or long memory or exhibit seasonal long memory behavior. In particular, they are applicable to GARCH and ARCH(infinity) models and to their squares. They are also useful in deriving asymptotic normality of kernel-type estimators of a nonparametric regression function with short or long memory moving average errors.

• 出版日期2014-2