Weak Dependence: Models And Applications To Econometrics

In this paper we discuss weak dependence and mixing properties of some popular models. We also develop some of their econometric applications. Autoregressive models, autoregressive conditional heteroskedasticity (ARCH) models, and bilinear models are widely used in econometrics. More generally, stationary Markov modeling is often used. Bernoulli shifts also generate many useful stationary sequences, such as autoregressive moving average (ARMA) or ARCH(∞) processes. For Volterra processes, mixing properties obtain given additional regularity assumptions on the distribution of the innovations.We recall associated probability limit theorems and investigate the nonparametric estimation of those sequences.We first thank the editor for the huge amount of additional editorial work provided for this review paper. The efficiency of the numerous referees was especially useful. The error pointed out in Hall and Horowitz (1996) was the origin of the present paper, and we thank the referees for asking for a more detailed treatment of a correct proof for this paper in Section 2.3. Also we thank Marc Henry and Rafal Wojakowski for a very careful rereading of the paper. An anonymous referee has been particularly helpful in the process of revision of the paper. The authors thank him for his numerous suggestions of improvement, including important results on negatively associated sequences and a thorough update in standard English.