Some Extensions

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

 Some Extensions

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Four extensions of the CLT are considered in this chapter. First, estimated normalization, using methods of heteroscedasticity and autocorrelation consistent variance estimation. Second, random norming, giving rise to a mixed Gaussian limiting distribution. Third, the Cramér‐Wold device, and the extension to the multivariate CLT. Lastly, error estimation and the law of the iterated logarithm.

Keywords: autocorrelation; Berry‐Esséen theorem; Cramér‐Wold device; Hartman‐Wintner theorem; heteroscedasticity; iterated logarithm; kernel estimation; mixed Gaussian distribution; random norming

Chapter.  6553 words. 

Subjects: Econometrics and Mathematical Economics

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