Near‐Epoch Dependence

James Davidson

in Stochastic Limit Theory

Published in print October 1994 | ISBN: 9780198774037
Published online November 2003 | e-ISBN: 9780191596117 | DOI:

Series: Advanced Texts in Econometrics

 Near‐Epoch Dependence

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Near‐epoch dependence (NED) is a generalized dependence concept for functions of mixing processes. This chapter gives definitions and examples, and considers the application to nonlinear dynamic processes. The relation to mixingales is the key theoretical result. Results on the preservation of NED under various transformations are considered next, and finally the related concept of approximability, which, unlike NED, is defined in the absence of integer moments.

Keywords: approximability; mixingale; near‐epoch dependence

Chapter.  11203 words. 

Subjects: Econometrics and Mathematical Economics

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