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apply approximable sequences autoregressive boundedness called Chapter close CLTs coefficients components consider constant continuity modulus conventional scheme convergence in distribution Corollary defined Denote deterministic diagonal econometrics eigenvalues elements equation equivalent errors exists exogenous regressors formula function f Gram matrix Hence Hölder’s inequality identity implies inthe inverse Lebesgue Lebesgue measure Lemma limit linear processes linearly independent m.d. sequence martingale Martingale Differences measurable multiplication Mynbaev MZ condition nonnegative nonsingular notation np F null numbers obtain ofthe OLS estimator orthogonal Phillips positive definite probability probability space projector Proof properties prove Eq quadratic forms random variables regression regressors representation result satisfies Assumption satisfy Eq Section squares statement subspace Suppose SV function symmetric Theorem theory triangle inequality true twostep uniformly integrable weighted sums zero β ψ λ δ