Central Limit Theorems for Dependent Heterogeneous Random Variables

Citations

Cited by:

1. Seo, Myung Hwan & Linton, Oliver, 2007. "A smoothed least squares estimator for threshold regression models," Journal of Econometrics, Elsevier, vol. 141(2), pages 704-735, December.
   • Linton, Oliver & Seo, Myunghwan, 2005. "A smoothed least squares estimator for threshold regression models," LSE Research Online Documents on Economics 4434, London School of Economics and Political Science, LSE Library.
2. Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T., 2011. "Panels with non-stationary multifactor error structures," Journal of Econometrics, Elsevier, vol. 160(2), pages 326-348, February.
   • Kapetanios, G. & Pesaran, M.H. & Yamagata, T., 2006. "Panels with Nonstationary Multifactor Error Structures," Cambridge Working Papers in Economics 0651, Faculty of Economics, University of Cambridge.
   • G. Kapetanios & M. Hashem Pesaran & T. Yamagata, 2010. "Panels with nonstationary multifactor error structures," Post-Print hal-00768190, HAL.
   • George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," Working Papers 569, Queen Mary University of London, School of Economics and Finance.
   • Kapetanios, George & Pesaran, M. Hashem & Yamagata, Takashi, 2006. "Panels with Nonstationary Multifactor Error Structures," IZA Discussion Papers 2243, Institute of Labor Economics (IZA).
   • George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," CESifo Working Paper Series 1788, CESifo.
3. Andrews, Donald W.K. & Cheng, Xu, 2013. "Maximum likelihood estimation and uniform inference with sporadic identification failure," Journal of Econometrics, Elsevier, vol. 173(1), pages 36-56.
   • Donald W. K. Andrews & Xu Cheng, 2011. "Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Cowles Foundation Discussion Papers 1824, Cowles Foundation for Research in Economics, Yale University.
   • Donald W. K. Andrews & Xu Cheng, 2011. "Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Cowles Foundation Discussion Papers 1824R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2012.
4. Hillebrand, Eric & Lukas, Manuel & Wei, Wei, 2021. "Bagging weak predictors," International Journal of Forecasting, Elsevier, vol. 37(1), pages 237-254.
   • Manuel Lukas & Eric Hillebrand, 2014. "Bagging Weak Predictors," CREATES Research Papers 2014-01, Department of Economics and Business Economics, Aarhus University.
   • Eric Hillebrand & Manuel Lukas & Wei Wei, 2020. "Bagging Weak Predictors," Monash Econometrics and Business Statistics Working Papers 16/20, Monash University, Department of Econometrics and Business Statistics.
5. Mengya Liu & Fukan Zhu & Ke Zhu, 2020. "Multi-frequency-band tests for white noise under heteroskedasticity," Papers 2004.09161, arXiv.org.
6. Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive 32462, Iowa State University, Department of Economics.
7. Clark, Todd E. & McCracken, Michael W., 2012. "In-sample tests of predictive ability: A new approach," Journal of Econometrics, Elsevier, vol. 170(1), pages 1-14.
   • Todd E. Clark & Michael W. McCracken, 2009. "In-sample tests of predictive ability: a new approach," Working Papers 2009-051, Federal Reserve Bank of St. Louis.
   • Todd E. Clark & Michael W. McCracken, 2009. "In-sample tests of predictive ability: a new approach," Research Working Paper RWP 09-10, Federal Reserve Bank of Kansas City.
8. Donald W.K. Andrews, 2017. "Identification-Robust Subvector Inference," Cowles Foundation Discussion Papers 2105, Cowles Foundation for Research in Economics, Yale University, revised Sep 2017.
9. Yuri Kifer, 2013. "A Nonconventional Invariance Principle for Random Fields," Journal of Theoretical Probability, Springer, vol. 26(2), pages 489-513, June.
10. Davidson, James, 2020. "A new consistency proof for HAC variance estimators," Economics Letters, Elsevier, vol. 186(C).
11. Robert F. Engle & Aaron D. Smith, 1999. "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November.
    • Engle, Robert F & Smith, Aaron, 1998. "Stochastic Permanent Breaks," University of California at San Diego, Economics Working Paper Series qt99v0s0zx, Department of Economics, UC San Diego.
12. Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
13. Qiu, Jin & Ma, Qing & Wu, Lang, 2019. "A moving blocks empirical likelihood method for panel linear fixed effects models with serial correlations and cross-sectional dependences," Economic Modelling, Elsevier, vol. 83(C), pages 394-405.
14. de Jong, Robert M. & Woutersen, Tiemen, 2011. "Dynamic Time Series Binary Choice," Econometric Theory, Cambridge University Press, vol. 27(4), pages 673-702, August.
    • Tiemen Woutersen & Robert M. de Jong, 2004. "Dynamic time series binary choice," Econometric Society 2004 North American Summer Meetings 365, Econometric Society.
    • Robert M. de Jong & Tiemen Woutersen, 2007. "Dynamic time series binary choice," Economics Working Paper Archive 538, The Johns Hopkins University,Department of Economics.
15. Andrews, Donald W.K. & Guggenberger, Patrik, 2017. "Asymptotic Size Of Kleibergen’S Lm And Conditional Lr Tests For Moment Condition Models," Econometric Theory, Cambridge University Press, vol. 33(5), pages 1046-1080, October.
    • Donald W. K. Andrews & Patrik Guggenberger, 2014. "Asymptotic Size of Kleibergen's LM and Conditional LR Tests for Moment Condition Models," Cowles Foundation Discussion Papers 1977, Cowles Foundation for Research in Economics, Yale University.
16. J. Isaac Miller, 2010. "Cointegrating regressions with messy regressors and an application to mixed‐frequency series," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 255-277, July.
17. Davidson, James, 2002. "Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 243-269, February.
18. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
19. Shin S. Ikeda, 2013. "A Note on the Mixingale Limit Theorem by McLeish (1977)," GRIPS Discussion Papers 13-11, National Graduate Institute for Policy Studies.
20. Kapetanios, G. & Mitchell, J. & Price, S. & Fawcett, N., 2015. "Generalised density forecast combinations," Journal of Econometrics, Elsevier, vol. 188(1), pages 150-165.
    • Fawcett, Nicholas & Kapetanios, George & Mitchell, James & Price, Simon, 2013. "Generalised Density Forecast Combinations," EMF Research Papers 05, Economic Modelling and Forecasting Group.
    • Fawcett, Nicholas & Kapetanios, George & Mitchell, James & Price, Simon, 2014. "Generalised density forecast combinations," Bank of England working papers 492, Bank of England.
    • N. Fawcett & G. Kapetanios & J. Mitchell & S. Price, 2014. "Generalised Density Forecast Combinations," CAMA Working Papers 2014-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
21. Adamek, Robert & Smeekes, Stephan & Wilms, Ines, 2023. "Lasso inference for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 235(2), pages 1114-1143.
    • Robert Adamek & Stephan Smeekes & Ines Wilms, 2020. "Lasso Inference for High-Dimensional Time Series," Papers 2007.10952, arXiv.org, revised Sep 2022.
22. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Journal of Econometrics, Elsevier, vol. 163(2), pages 215-230, August.
    • Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print hal-00834423, HAL.
23. Blasques, F. & Francq, Christian & Laurent, Sébastien, 2023. "Quasi score-driven models," Journal of Econometrics, Elsevier, vol. 234(1), pages 251-275.
    • F. Blasques & Christian Francq & Sébastien Laurent, 2023. "Quasi score-driven models," Post-Print hal-04069143, HAL.
24. Verena Monschang & Mark Trede & Bernd Wilfling, 2023. "Multi-horizon uniform superior predictive ability revisited: A size-exploiting and consistent test," CQE Working Papers 10623, Center for Quantitative Economics (CQE), University of Muenster.
25. Miller J. Isaac, 2010. "A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-38, September.
    • J. Isaac Miller, 2010. "A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels," Working Papers 1001, Department of Economics, University of Missouri.
26. Jonathan Hill, 2012. "Dependence and stochastic limit theory (in Russian)," Quantile, Quantile, issue 10, pages 1-31, December.
27. Mynbayev, Kairat & Darkenbayeva, Gulsim, 2019. "Analyzing variance in central limit theorems," MPRA Paper 101685, University Library of Munich, Germany.
28. Jenish, Nazgul & Prucha, Ingmar R., 2009. "Central limit theorems and uniform laws of large numbers for arrays of random fields," Journal of Econometrics, Elsevier, vol. 150(1), pages 86-98, May.
29. Burak Alparslan Eroğlu & J. Isaac Miller & Taner Yiğit, 2022. "Time-varying cointegration and the Kalman filter," Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 1-21, January.
    • Burak Alparslan Eroglu & J. Isaac Miller & Taner Yigit, 2019. "Time-Varying Cointegration and the Kalman Filter," Working Papers 1905, Department of Economics, University of Missouri.
30. Gençay, Ramazan & Signori, Daniele, 2015. "Multi-scale tests for serial correlation," Journal of Econometrics, Elsevier, vol. 184(1), pages 62-80.
31. repec:hal:journl:peer-00834423 is not listed on IDEAS
32. Roy, Archi & Soni, Anchal & Deb, Soudeep, 2023. "A wavelet-based methodology to compare the impact of pandemic versus Russia–Ukraine conflict on crude oil sector and its interconnectedness with other energy and non-energy markets," Energy Economics, Elsevier, vol. 124(C).
33. Mikihito Nishi, 2024. "Estimating Time-Varying Parameters of Various Smoothness in Linear Models via Kernel Regression," Papers 2406.14046, arXiv.org, revised Oct 2024.
34. Calhoun, Gray, 2014. "Block Bootstrap Consistency Under Weak Assumptions," Staff General Research Papers Archive 34313, Iowa State University, Department of Economics.
35. Li, Yong & Yu, Jun & Zeng, Tao, 2020. "Deviance information criterion for latent variable models and misspecified models," Journal of Econometrics, Elsevier, vol. 216(2), pages 450-493.
36. Manuel Landajo & María José Presno, 2010. "Stationarity testing under nonlinear models. Some asymptotic results," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 392-405, September.
37. Fuqi Chen & Sévérien Nkurunziza, 2016. "A class of Stein-rules in multivariate regression model with structural changes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(1), pages 83-102, March.
38. repec:hal:journl:peer-00768190 is not listed on IDEAS
39. George Kapetanios & Zacharias Psaradakis, 2016. "Semiparametric Sieve-Type Generalized Least Squares Inference," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 951-985, June.
40. Qiu, Jin & Lin, Zhengyan, 2006. "The variance of partial sums of strong near-epoch dependent variables," Statistics & Probability Letters, Elsevier, vol. 76(17), pages 1845-1854, November.
41. Jean-Jacques Forneron, 2019. "A Sieve-SMM Estimator for Dynamic Models," Papers 1902.01456, arXiv.org, revised Jan 2023.
42. Jenish, Nazgul & Prucha, Ingmar R., 2012. "On spatial processes and asymptotic inference under near-epoch dependence," Journal of Econometrics, Elsevier, vol. 170(1), pages 178-190.
43. Jonathan B. Hill, 2005. "On Tail Index Estimation for Dependent, Heterogenous Data," Econometrics 0505005, University Library of Munich, Germany, revised 24 Mar 2006.
44. Donald W.K. Andrews, 2017. "Identification-Robust Subvector Inference," Cowles Foundation Discussion Papers 3005, Cowles Foundation for Research in Economics, Yale University, revised Sep 2017.