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On Asymptotics of the Sample Distribution for a Class of Linear Process Models in Economics

Published online by Cambridge University Press:  18 October 2010

C. H. Hesse
C. H. Hesse
Affiliation:
University of California at Berkeley
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Abstract

Let … be a moving average process of infinite order where the innovations ε(k) are in the domain of attraction of a stable law with index α ε (0, 2) and the parameter sequence decreases at a polynomial or exponential rate. These and similar processes have recently received increased attention both in the econometrics and statistics/probability literature. The present paper studies almost sure uniform rates of convergence of the empirical distribution function. Applications of these infinite variance processesin econometrics are mentioned.

Type
Articles
Information
Econometric Theory , Volume 8 , Issue 3 , September 1992 , pp. 330 - 342
Copyright
Copyright © Cambridge University Press 1992

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