A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE

B-Tier
Journal: Econometric Theory
Year: 2005
Volume: 21
Issue: 6
Pages: 1165-1171

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Conditions ensuring a central limit theorem for strongly mixing triangular arrays are given. Larger samples can show longer range dependence than shorter samples. The result is obtained by constraining the rate growth of dependence as a function of the sample size, with the usual trade-off of memory and moment conditions. An application to heteroskedasticity and autocorrelation consistent estimators is proposed.

Technical Details

RePEc Handle
repec:cup:etheor:v:21:y:2005:i:06:p:1165-1171_05
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25