Berry-Esseen bounds for econometric time series

Research output: Contribution to journalArticleResearchpeer-review

Abstract

We derive uniform and non--uniform error bounds in the normal approximation under a general dependence assumption. Our method is tailor made for dynamic time series models employed in the econometric literature but it is also applicable for many other dependent processes. Neither stationarity nor any smoothness conditions of the underlying distributions are required. If the introduced weak dependence coefficient decreases with a geometric rate then we obtain, up to a multiplicative logarithmic factor, the same convergence rate as in the centrallimit theorem for independent random variables.
Original languageEnglish
Pages (from-to)377-397
Number of pages21
JournalAlea : Estudos Neolatinos
Volume6
Publication statusPublished - 2009

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Berry-Esseen Bound
Weak Dependence
Uniform Bound
Normal Approximation
Time Series Models
Independent Random Variables
Stationarity
Econometrics
Error Bounds
Convergence Rate
Smoothness
Multiplicative
Dynamic Model
Logarithmic
Time series
Decrease
Dependent
Coefficient
Theorem

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Berry-Esseen bounds for econometric time series. / Hörmann, Siegfried.

In: Alea : Estudos Neolatinos, Vol. 6, 2009, p. 377-397.

Research output: Contribution to journalArticleResearchpeer-review

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