A general limit theory for nonlinear functionals of nonstationary time series

New limit theory is provided for a wide class of sample variance and covariance functionals involving both nonstationary and stationary time series. Sample functionals of this type commonly appear in regression applications and the asymptotics are particularly relevant to estimation and inference in...

Full description

Saved in:
Bibliographic Details
Main Authors: WANG, Qiying, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2024
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/2780
https://ink.library.smu.edu.sg/context/soe_research/article/3779/viewcontent/General_limit_theory_for_nonlinear_pvoa_cc_by.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English