Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes

By James Davidson. 2002

117 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9500fad0a26ce00fedfb6289b8922de27a83d46d

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Citations in the corpus

Testing Models of Low‐Frequency Variability (2006, unknown): “The local-to-unity model and local level model rely on a functional central limit theorem applied to (wt; t) 0; various primitive conditions are given, for example, in McLeish (1974), Wooldridge and White (1988), Phillips and Solo (1992), and Davidson (2002); see Stock (1994) for general discussion.”
A model of fractional cointegration, and tests for cointegration using the bootstrap☆ (2002, methodology): “For example, the OLS estimator with I(d) regressors and I(0) disturbances converges at n1/2 (independent of d) for d < 1/2, and at rate nd for d ≥ 1/2 (see Davidson 2001b).”
A self‐normalized approach to confidence interval construction in time series (2010, methodology): “Or we can impose the near epoch dependence assumption, which allows processes that are not mixing; see Davidson (2002) for more details.”
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence (2007, background): “For more modern approaches and further examples, the interested reader is referred to Davidson and de Jong [7], Davidson [6] and Wu and Min [32].”
Multi-scale tests for serial correlation (2015, background): “2 These results include GARCH, IGARCH, FIGARCH, ARCH(∞) (Davidson, 2004), ARMA, Bilinear models, switching and threshold autoregressive models, and smooth nonlinear autoregressions (Davidson, 2002).”
Rescaled variance and related tests for long memory in volatility and levels (2003, unknown): “Alternatively, appropriate mixing assumptions could be imposed (see Davidson and de Jong, 2000; Davidson, 2002 ).”
ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS (2002, background): “Given that an MSAR(r,m) process can be shown to be near-epoch dependent (in L2-norm) on somemixing base (Kapetanios, 1999;Davidson, 2001), r̂will beweakly or strongly consistent for r under the conditions on the penalty factor CT dim(Hk) given in Theorems 3 and 4, respectively, of Kapetanios…”
On the Selection of Forecasting Models (2006, unknown): “Inspection of equation ( 7 ) also makes it clear that the predictive least squares method is admissible for both nested and nonnested comparisons for the same reasons that information criteria are admissible.”
Asymptotic Properties of GARCH-X Processes (2015, background): “See Diebold (1986), Lamoureux and Lastrapes (1990), Cai (1994) and Hamilton and Susmel (1994).”
A Randomized Sequential Procedure to Determine the Number of Factors (2018, background): “Condition (7) is very popular when considering nonlinear transformations, and it holds for a wide variety of processes, including linear processes, ARCH and GARCH processes and data from dynamical systems and Volterra series (see Davidson 2002, inter alia).”
Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model (2004, background): “This is the condition that there exists a locally measurable (finite-lag) approximation to u t , which is a uniform mixing process, given that e t is independent (e.g. Davidson 1994 Theorem 14.1).”