GRIPS 政策研究センター Policy Research Center

客員研究員

Jul 1, 2013 Report No:13-11

A Note on the Mixingale Limit Theorem by McLeish (1977)

Author
Field Economics
Language English
Abstract

The logical gap in the proof of non-stationary mixingale invariance principle by McLeish (1977) is identi ed and fi xed by a skipped sub-sampling of a partial sum process in the continuous time. The corrected proof also delivers some extensions of the previous invariance principle and several stronger versions of convergence in law.

Keywords Mixingale, Heteroskedasticity, Mixing and Stable Convergence in Law
attachment 13-11.pdf