THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I

By R. Jong, James Davidson. Econometric Theory, 2000

124 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/2a9375714f260fc35e6796c6111e5b97c8fd682d

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Citations in the corpus

Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes (2002, methodology): “In the fully general version of Theorem 1.2 given by De Jong and Davidson (2000b), the variances of the process are allowed to trend like tα for any α > −1, and exploiting this fact yields the result.”
Robust estimation for structural spurious regressions and a Hausman-type cointegration test (2005, background): “BIC [ 4 ] [0] [4] 0 1.121 (0.185) 0.557 (0.182) 1.088 (0.048) 3.709† 1 1.177 (0.176) 0.655 (0.260) 1.320 (0.172) 3.034†”
Advances in Forecast Evaluation (2011, unknown): “While Clark and McCracken (2005a) and McCracken (2007) use assumptions adapted from Hansen (1992), Hansen and Timmermann use assumptions based on de Jong and Davidson (2000), which are the weakest assumptions that can be used to ensure convergence to stochastic integrals.”
Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts (2008, unknown): “Again, since the increments satisfy Assumption 3 (d) with long-run variance V we can apply Theorem 4.1 of de Jong and Davidson (2000) to obtain -1/2 ' 1/2, , ,-2 (1 - )( ) ( [ ( ) - ( )]) T P t T t T R T Lt T T h B T H t H t"!”
Residual Log-Periodogram Inference for Long-Run-Relationships (2002, unknown): “This assumption holds when the β̂ are the OLS estimates for δ ∈ [0, 1.5) − {0.5} (see de Jong and Davidson, 2000; Robinson and Marinucci, 2001).”
Testing That a Dependent Process Is Uncorrelated (2001, methodology): “Notice that nƒ1=2 P6nr7 tD1 zkt D nƒ1=2 P6nr 7 tD1 Qzkt C Op4rnƒ1=25 and that each of the Qzkt processes (normalized by the square root of the variance of Pnƒk tD1 zkt) satis es assumption 1 in de Jong and Davidson (2000).”
Hybrid and Size-Corrected Subsampling Methods (2007, background): “1 of De Jong and Davidson (2000), Assumption INOV implies that”
A SIMPLE TEST OF NORMALITY FOR TIME SERIES (2004, background): “mixing or near epoch dependent conditions (see, for instance, De Jong and Davidson (2000) ).”
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009, methodology): “This builds upon the work of, in particular, Davidson (1994), de Jong and Davidson (2000), and Wooldridge and White (1988), who derive invariance principles for partial sums of processes whose average variance, when properly normalized, admits a deterministic limit.”
A robust version of the KPSS test based on indicators (2007, methodology): “(11) From Theorem 2, it follows that analogously to the “standard” KPSS statistic, (γT T −1)σ̂−2T−2 T∑ t=1 S2Tt d−→ D (12) for some random variable D that is distribution-free except for the multiplication factor∫∞ 0 k(α)dα.”