Establishing Conditions for the Functional Central Limit Theorem in Nonlinear and Semiparametric Time Series Processes

@inproceedings{Davidson2001EstablishingCF,
  title={Establishing Conditions for the Functional Central Limit Theorem in Nonlinear and Semiparametric Time Series Processes},
  author={James Davidson and JEL Classi},
  year={2001}
}
This paper considers methods of deriving sufficient conditions for the central limit theorem and functional central limit thorem to hold in a broad class of time series processes, including nonlinear processes and semiparametric linear processes. The common thread linking these results is the concept of near-epoch dependence on a mixing process, since powerful limit results are available under this limited-dependence property. The particular case of near-epoch dependence on an independent… CONTINUE READING
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