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Keyword: central limit theorem;

7 results found.

Econometrics Paper

Inference Without Smoothing for Large Panels with Cross- Sectional and Temporal Dependence

Javier Hidalgo and Marcia M Schafgans

This paper addresses inference in large panel data models in the presence of both cross-sectional and temporal dependence of unknown form. We are interested in making inferences without relying on the choice of any smoo...Read more...

20 February 2018

Econometrics Paper

Inference and Testing Breaks in Large Dynamic Panels with Strong Cross Sectional Dependence

Javier Hidalgo and Marcia M Schafgans

This paper is concerned with various issues related to inference in large dynamic panel data models (where both n and T increase without bound) in the presence of, possibly, strong cross-sectional dependence. Our first a...Read more...

1 April 2015

Econometrics Paper

Asymptotic Theory for Nonparametric Regression with Spatial Data

Peter M Robinson

Nonparametric regression with spatial, or spatio-temporal, data is considered. The conditional mean of a dependent variable, given explanatory ones, is a nonparametric function, while the conditional covariance reflects ...Read more...

September 2010

Econometrics Paper

Conditional-Sum-of-Squares Estimation of Models for Stationary Time Series with Long Memory

Peter M Robinson

Employing recent results of Robinson (2005) we consider the asymptotic properties of conditional-sum-of-squares (CSS) estimates of parametric models for stationary time series with long memory. CSS estimation has been co...Read more...

September 2006

Econometrics Paper

Weak Convergence of Multivariate Fractional Processes - (Now published in 'Stochastic Processes and their Applications', 80 (1999), pp.103-120.)

D Marinucci and Peter M Robinson

Weak convergence to a form of fractional Brownian motion is established for a wide class of nonstationary fractionally integrated multivariate processes. Instrumental for the main argument is a result of some independent...Read more...

July 1998

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

A central limit theorem is given for certain weighted sums of a covariance stationary process, assuming it is linear in martingale differences, but without any restriction on its spectrum. We apply the result to kernel n...Read more...

September 1997

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

The central limit theorem in Davidson (1992a) is extended to allow cases where the variances of sequence coordinates can be tending to zero. A trade off is demonstrated between the degree of dependence (mixing size) and ...Read more...

1992