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A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes

Published online by Cambridge University Press:  18 October 2010

James Davidson
James Davidson
Affiliation:
London School of Economics
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Abstract

A central limit theorem is proved for dependent stochastic processes. Global heterogeneity of the distribution of the terms is permitted, including asymptotically unbounded moments. The approach is to adapt a CLT for martingale differences due to McLeish and show that suitably defined Bernstein blocks satisfy the required conditions.

Type
Articles
Information
Econometric Theory , Volume 8 , Issue 3 , September 1992 , pp. 313 - 329
Copyright
Copyright © Cambridge University Press 1992

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