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Stochastic Limit TheoryAn Introduction for Econometricians$
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James Davidson

Print publication date: 1994

Print ISBN-13: 9780198774037

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198774036.001.0001

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Near‐Epoch Dependence

Near‐Epoch Dependence

(p.261) 17 Near‐Epoch Dependence
Stochastic Limit Theory

James Davidson

Oxford University Press

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

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