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Keywords:

  • Absolutely regular mixing;
  • CLT (FCLT);
  • discount sums;
  • Abel sums;
  • moving average;
  • Beinstein's blocking technique;
  • the Beveridge–Nelson (BN) decomposition;
  • the OLS estimates

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.