A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes
- 1 September 1992
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 8 (3) , 313-329
- https://doi.org/10.1017/s0266466600012950
Abstract
A central limit theorem is proved for dependent stochastic processes. Global heterogeneity of the distribution of the terms is permitted, including asymptotically unbounded moments. The approach is to adapt a CLT for martingale differences due to McLeish and show that suitably defined Bernstein blocks satisfy the required conditions.Keywords
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