Some limit theory for autocovariances whose order depends on sample size

Econometric Theory

Volumn 19, Issue 5, 2003, Pages 829-864

  Harris, David ^a   McCabe, Brendan ^b   Leybourne, Stephen ^c  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b UNIVERSITY OF LIVERPOOL   (United Kingdom)

^c UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0142138095     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466603195060     Document Type: Article

References (12)

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5. Keenan, D.M. (1997) A central limit theorem for m(n) autocovariances. Journal of Time Series Analysis 18, 61-78.
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10. Phillips, P.C.B. (1988) Weak convergence of sample covariance matrices to stochastic integrals via martingale approximations. Econometric Theory 4, 528-533.
11. Phillips, P.C.B. & V. Solo (1992) Asymptotics for linear processes. Annals of Statistics 20, 971-1001.
12. Saikkonen, P. & R. Luukkonen (1993) Testing for a moving average unit root in autoregressive integrated moving average models. Journal of the American Statistical Association 88, 596-601.