dc.contributor.author | Davidson, James | en_GB |
dc.contributor.department | Cardiff Business School | en_GB |
dc.contributor.department | University of Exeter | en_GB |
dc.date.accessioned | 2008-05-29T08:14:23Z | en_GB |
dc.date.accessioned | 2011-01-25T10:26:04Z | en_GB |
dc.date.accessioned | 2013-03-19T15:55:01Z | |
dc.date.issued | 2001-11-26 | en_GB |
dc.description.abstract | This paper considers methods of deriving sufficient conditions for the central limit theorem and functional central limit theorem to hold in a broad class of time series processes, including nonlinear processes and semiparametric linear processes. The common thread linking these results is the concept of near-epoch dependence on a mixing process, since powerful limit results are available under this limited-dependence property. The particular case of near-epoch dependence on an independent process provides a convenient framework for dealing with a range of nonlinear cases, including the bilinear, GARCH, and threshold autoregressive models. It is shown in particular that even SETAR processes with a unit root regime have short memory, under the right conditions. A simulation approach is also demonstrated, applicable to cases that are analytically intractable. A new FCLT is given for semiparametric linear processes, where the forcing processes are of the NED-on-mixing type, under conditions that are evidently close to necessary. | en_GB |
dc.identifier.citation | Vol. 106 (2), pp. 243-269 | en_GB |
dc.identifier.doi | 10.1016/S0304-4076(01)00100-2 | en_GB |
dc.identifier.uri | http://hdl.handle.net/10036/28753 | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | Elsevier | en_GB |
dc.subject | near epoch dependence | en_GB |
dc.subject | GARCH | en_GB |
dc.subject | FCLT | en_GB |
dc.subject | TAR | en_GB |
dc.subject | Nonlinear | en_GB |
dc.subject | Bilinear | en_GB |
dc.title | Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes | en_GB |
dc.type | Article | en_GB |
dc.date.available | 2008-05-29T08:14:23Z | en_GB |
dc.date.available | 2011-01-25T10:26:04Z | en_GB |
dc.date.available | 2013-03-19T15:55:01Z | |
dc.identifier.issn | 0304-4076 | en_GB |
dc.description | Please see also the following Corrigendum to Section 2.4, Journal of Econometrics 110(1) 103-104 | en_GB |
dc.identifier.journal | Journal of Econometrics | en_GB |