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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2024
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| 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 |
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| Institution: | Singapore Management University |
| Language: | English |