When Do the Discount Sums of Moving Averages Converge to the Normality?
22 Pages Posted: 4 Sep 2008
Date Written: September 3, 2008
Abstract
This paper is concerned with the weak convergence of the discount sums (so-called Abel summations) of moving averages. We extends the results established by Omey (1984) into the dependent case. As a simple illustration, we derive the asymptotic distributions of the Dicky-Fuller test for unit root in the case when the innovations of an AR(1) process are serially correlated and nearly heteroskedastic.
Keywords: Absolutely regular mixing, CLT (FCLT), Discount sums, Moving average
JEL Classification: C01, C10, C22
Suggested Citation: Suggested Citation
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