Limit theorems for the discount sums of moving averages

Authors


Ba Chu, Department of Economics, Carleton University, B-857 Loeb Building, 1125 Colonel By Drive, Ottawa, ON K1S 5B6, Canada.

Abstract

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.

Ancillary