The present article derives the limiting distributions of the discount sums (a.k.a. the Abel summands) of moving averages. These distributions are extensions of the result obtained for the i.i.d. case by Omey (1984). An example about the ordinary least squares regression model is provided to illustrate the applicability of the proposed theorems.

Additional Metadata
Keywords Abel sums, Absolutely regular mixing, Beinstein's blocking technique, CLT (FCLT), Discount sums, Moving average, The Beveridge-Nelson (BN) decomposition, The OLS estimates
Persistent URL dx.doi.org/10.1111/j.1467-9892.2011.00727.x
Journal Journal of Time Series Analysis
Citation
Chu, B. (2012). Limit theorems for the discount sums of moving averages. Journal of Time Series Analysis, 33(1), 1–12. doi:10.1111/j.1467-9892.2011.00727.x