When Do the Discount Sums of Moving Averages Converge to the Normality?

22 Pages Posted: 4 Sep 2008

See all articles by Ba M. Chu

Ba M. Chu

Carleton University

Soosung Hwang

Sungkyunkwan University - Department of Economics

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

Chu, Ba M. and Hwang, Soosung, When Do the Discount Sums of Moving Averages Converge to the Normality? (September 3, 2008). Available at SSRN: https://ssrn.com/abstract=1262608 or http://dx.doi.org/10.2139/ssrn.1262608

Ba M. Chu (Contact Author)

Carleton University ( email )

Department of Economics
Ottawa, Ontario K1S 5B6
Canada

Soosung Hwang

Sungkyunkwan University - Department of Economics ( email )

25-2, Sungkyunkwan-ro
Jongno-gu
Seoul, 03063
+82 (0)2 760 0489 (Phone)
+82 (0)2 744 5717 (Fax)

HOME PAGE: http://sites.google.com/view/soosunghwang

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