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Econometrics Paper
Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in 'Annals of Statistics', 28 (1997), pp.2054-2083.) Peter M Robinson September 1997
Paper No' EM/1997/336:
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Tags: central limit theorem; nonparametric regression; autocorrelation; long-range dependence

Econometrics Paper
The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case (Now published in Economic Theory 9 (1993), pp.402-412.) James Davidson  1992
Paper No' EM/1992/243:
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Tags: central limit theorem; sequence coordinates; rate of degeneration; mixing processes; martingale difference.