CFDP 932

Asymptotics for Linear Processes


Publication Date: October 1989

Pages: 48


A method of deriving asymptotics for linear processes is introduced which uses an explicit algebraic decomposition of the linear filter. The method leads to substantial simplifications in the asymptotics and offers a unified approach to strong laws and central limit theory for linear processes. Sample means and sample covariances are covered. The results also accommodate both homogeneous and heterogeneous innovations as well as innovations with undefined means and variances.


Central limit theory, asymptotic theory, linear processes

JEL Classification Codes: 211

See CFP: 815